Relação entre índice de volatilidade implícita e índice de retorno de ações

Abstract

The study investigates the possible relationship between Ibovespa returns and IVol-BR, the implied volatility index created for the Brazilian market based on VIX modeling, the existing implied volatility index for the US market. The main objective is to verify if there is a relationship between IVol-BR returns and Ibovespa returns. They were analyzed as contemporary ratios between index returns and also as implied volatility index ratios or Ibovespa future returns at 1, 5, 20 and 60 business days. The applied methodology was ordinary least squares (OLS). As robustness tests were adopted as a proxy for volatility, estimated from the GARCH model (1,1) and quantile regression. The suggested results that return to the Ibovespa have greater influence on volatility index, both in IVol-BR and in the GARCH model. These results suggest that the Brazilian market react more exacerbated to bad news than good news, as suggests the ideas developed by behavioral finances. Regarding future returns, it was found that volatility is related more to longer Ibovespa returns, such as 20 and 60 business days, suggesting the existence of a long memory for the volatility of the Brazilian market