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The Global ETD Search service is a free service for researchers
to find electronic theses and dissertations. This service is
provided by the
Networked Digital Library of Theses and Dissertations.
Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
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[en] PREDICTING S AND P 500 REALIZED VARIANCE IN FOMC ANNOUNCEMENT DAYS / [pt] PREVENDO VARIÂNCIA REALIZADA DO S E P500 EM DIAS DE ANÚNCIO DO FOMCMARCUS VINICIUS MELO DA SILVA 27 February 2019 (has links)
[pt] Este trabalho mostra que o VIX e sua versão de mais curto prazo tem poder preditivo sobre a variância realizada do S e P 500 em dias de FOMC (reuniões do Banco Central do Estados Unidos – FED). Apesar disto, o resultado não persiste quando utilizamos o Índice de Volatilidade do S e P 500 de Longo Prazo (3 meses). / [en] This work shows that the VIX and its shorter-term version have predictive power over the variance of the S and P 500 on FOMC days (meetings of the United States Central Bank - FED). Despite this, the result does not persist when we use the Long Term S and P 500 Volatility Index (3 months).
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