Um estudo sobre a volatilidade do mercado futuro de taxa de juros no Brasil

Abstract

The interest rate futures market (DI contract) became the most important futures market in Brazil, with an open interest of more than US$ 40 billion. Therefore, data from this market are bound to become one of the most used dates in empirical finance applied to Brazilian financial markets. However, the DI futures market is quite different from usual interest rate futures market, for which most econometric methodologies have been developed. We demonstrate that, given the daily interest compounding on the PU (unitary price), the DI futures price series shows a "cyclical heteroskedasticity" that is immune to variance stabilising transformations (logarithmic or any other of Box-Cox type) and to differentiation of any order. We present different ways to organise the dataset, discussing the pros and cons of each one. Since the literature has not yet approach this very important Brazilian futures market, this paper brings an important methodological contribution to empirical finance in Brazil.