Modelagem econométrica para forecasting do IFIX

Resumo

This research tried to develop an econometric model capable of estimating the future behavior of the IFIX, index for the brazilian real estate investment trust. For that, three econometric models were used, in addition to the combination between them in the attempt to obtain predictive gains. Because it is a relatively new index, it was sought to use the entire historical series of the index, which runs from 2010 to 2018, the period of the study. In and out of sample tests were performed to analyze the predictive capacity of the models. The results within the sample were significantly satisfactory. The results out of sample estimation were satisfatory for give the tendencies. There was a considerable discrepancy between the observed and estimated statistics in the estimatives out of sample.

Ficha do documento

Tipo

Dissertação

Ano

2019

Instituição

Fundação Getulio Vargas

Fonte

Repositório da FGV

Idioma

Português

Acesso

Acesso aberto

Identificador

oai:repositorio.fgv.br:10438/28498

Temas

EconomiaModelagem Econômica

Palavras-chave

EconometriaCombinação de modelosFundos ImobiliáriosIFIXPrevisãoForecastBrazilian real estate investments trustsEconometricModels combinationEconomiaÍndice de fundos de investimentos imobiliáriosFundos de investimentosÍndices de mercado de ações