Modelos de Volatilidade Estocástica com deformação temporal: um estudo empírico para o índice Ibovespa

Abstract

To estimate and forecast volatility is one of the most important problems in financial economics. The purpose of this paper is to use time deformation in order to improve volatility estimates. The concept of time deformation is related to the idea that the stock market reacts to news which is not measured in calendar time. Stochastic Volatility models with and without time deformation are used to estimate the volatility of Ibovespa.