Thiago Guerrera Martins

Publications (1)0 Total impact

• Source

  Available from: ipea.gov.br

  Article: Aplicação de um Modelo Fatorial Dinâmico Para Previsão da Arrecadação Tributária no Brasil

  M�rio Jorge Mendon�a, Cl�udio Hamilton dos Santos, Thiago Guerrera Martins
  [show abstract] [hide abstract]
  ABSTRACT: Changes in variance, or volatility, over time can be modeled using the approach based on autoregressive conditional heteroscedasticity. Another approach is to model variance as an unobserved stochastic process. Although it is not easy to obtain the exact likelihood function for such stochastic variance models, they tie in closely with developments in finance theory and have certain statistical attractions. This article sets up a multivariate model, discusses its statistical treatment, and shows how it can be modified to capture common movements in volatility in a very natural way. The model is then fitted to daily observations on exchange rates.
  Instituto de Pesquisa Econ�mica Aplicada - IPEA, Discussion Papers. 01/2009;