Dinamicity and unpredictability of emerging marketsan implementation of Goetzamnn and Jorion (1999)

Resumo

This research is to be considered as an implementation of Goetzmann and Jorion (1999). In order to provide a more realistic scenario, we have implemented a Garch (1,1) approach for the residuals of returns and a multifactor model thus to better replicate the systematic risk of a market. The new simulations reveal some new aspects of emerging markets’ expected returns: the unpredictability of the emerging markets’ returns with the global factor does not depend on the year of emergence and that the unsystematic risk explains the returns of emerging markets for a much larger period of time. The results also reveal the high impact of Exchange rate, Commodities index and of the Global factor in emerging markets’ expected return.

Ficha do documento

Tipo

Dissertação

Ano

2015

Instituição

Fundação Getulio Vargas

Fonte

Repositório da FGV

Idioma

Inglês

Acesso

Não informado

Identificador

oai:repositorio.fgv.br:10438/13598

Temas

Economia

Palavras-chave

Systematic riskUnsystematic riskMultifactor modelEmerging marketsGarch (1,1)EconomiaRisco (Economia)Finanças - Modelos matemáticosAnálise de séries temporais