Estimating and forecasting the volatility of Brazilian finance series using arch models (Preliminary Version)

The goal of this paper is to present a comprehensive emprical analysis of the return and conditional variance of four Brazilian …nancial series using models of the ARCH class. Selected models are then compared regarding forecasting accuracy and goodness-of-…t statistics. To help understanding the empirical results, a self-contained theoretical discussion of ARCH models is also presented in such a way that it is useful for the applied researcher. Empirical results show that although all series share ARCH and are leptokurtic relative to the Normal, the return on the US$ has clearly regime switching and no asymmetry for the variance, the return on COCOA has no asymmetry, while the returns on the CBOND and TELEBRAS have clear signs of asymmetry favoring the leverage e¤ect. Regarding forecasting, the best model overall was the EGARCH(1; 1) in its Gaussian version. Regarding goodness-of-…t statistics, the SWARCH model did well, followed closely by the Student-t GARCH(1; 1)

The impact of OFDI on economic growth countries. An econometric approach using panel data and time-series evidence

The thesis at hand adds to the existing literature by investigating the relationship between economic growth and outward foreign direct investments (OFDI) on a set of 16 emerging countries. Two different econometric techniques are employed: a panel data regression analysis and a time-series causality analysis. Results from the regression analysis indicate a positive and significant correlation between OFDI and economic growth. Additionally, the coefficient for the OFDI variable is robust in the sense specified by the Extreme Bound Analysis (EBA). On the other hand, the findings of the causality analysis are particularly heterogeneous. The vector autoregression (VAR) and the vector error correction model (VECM) approaches identify unidirectional Granger causality running either from OFDI to GDP or from GDP to OFDI in six countries. In four economies causality among the two variables is bidirectional, whereas in five countries no causality relationship between OFDI and GDP seems to be present.

Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions

It is well known that cointegration between the level of two variables (e.g. prices and dividends) is a necessary condition to assess the empirical validity of a present-value model (PVM) linking them. The work on cointegration,namelyon long-run co-movements, has been so prevalent that it is often over-looked that another necessary condition for the PVM to hold is that the forecast error entailed by the model is orthogonal to the past. This amounts to investigate whether short-run co-movememts steming from common cyclical feature restrictions are also present in such a system. In this paper we test for the presence of such co-movement on long- and short-term interest rates and on price and dividend for the U.S. economy. We focuss on the potential improvement in forecasting accuracies when imposing those two types of restrictions coming from economic theory.

Forecasting Multivariate Time Series under Present-Value-Model Short- and Long-run Co-movement Restrictions

This paper has two original contributions. First, we show that the present value model (PVM hereafter), which has a wide application in macroeconomics and fi nance, entails common cyclical feature restrictions in the dynamics of the vector error-correction representation (Vahid and Engle, 1993); something that has been already investigated in that VECM context by Johansen and Swensen (1999, 2011) but has not been discussed before with this new emphasis. We also provide the present value reduced rank constraints to be tested within the log-linear model. Our second contribution relates to forecasting time series that are subject to those long and short-run reduced rank restrictions. The reason why appropriate common cyclical feature restrictions might improve forecasting is because it finds natural exclusion restrictions preventing the estimation of useless parameters, which would otherwise contribute to the increase of forecast variance with no expected reduction in bias. We applied the techniques discussed in this paper to data known to be subject to present value restrictions, i.e. the online series maintained and up-dated by Shiller. We focus on three different data sets. The fi rst includes the levels of interest rates with long and short maturities, the second includes the level of real price and dividend for the S&P composite index, and the third includes the logarithmic transformation of prices and dividends. Our exhaustive investigation of several different multivariate models reveals that better forecasts can be achieved when restrictions are applied to them. Moreover, imposing short-run restrictions produce forecast winners 70% of the time for target variables of PVMs and 63.33% of the time when all variables in the system are considered.

An overview of some historical Brazilian macroeconomic series and some open questions

This paper presents an overview of the Brazilian macroeconomy by analyzing the evolution of some specific time series. The presentation is made through a sequence of graphs. Several remarkable historical points and open questions come up in the data. These include, among others, the drop in output growth as of 1980, the clear shift from investments to government current expenditures which started in the beginning of the 80s, the notable way how money, prices and exchange rate correlate in an environment of permanently high inHation, the historical coexistence of high rates of growth and high rates of inHation, as well as the drastic increase of the velocity of circulation of money between the 70s and the mid-90s. It is also shown that, although net external liabilities have increased substantially in current dollars after the Real Plan, its ratio with respect to exports in 2004 is practically the same as the one existing in 1986; and that residents in Brazil, in average, owed two more months of their final income (GNP) to abroad between 1995-2004 than they did between 1990 and 1994. Variance decompositions show that money has been important to explain prices, but not output (GDP).

Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions

Using a sequence of nested multivariate models that are VAR-based, we discuss different layers of restrictions imposed by present-value models (PVM hereafter) on the VAR in levels for series that are subject to present-value restrictions. Our focus is novel - we are interested in the short-run restrictions entailed by PVMs (Vahid and Engle, 1993, 1997) and their implications for forecasting. Using a well-known database, kept by Robert Shiller, we implement a forecasting competition that imposes different layers of PVM restrictions. Our exhaustive investigation of several different multivariate models reveals that better forecasts can be achieved when restrictions are applied to the unrestricted VAR. Moreover, imposing short-run restrictions produces forecast winners 70% of the time for the target variables of PVMs and 63.33% of the time when all variables in the system are considered.

A critical value function approach, with an application to persistent time-series

Researchers often rely on the t-statistic to make inference on parameters in statistical models. It is common practice to obtain critical values by simulation techniques. This paper proposes a novel numerical method to obtain an approximately similar test. This test rejects the null hypothesis when the test statistic islarger than a critical value function (CVF) of the data. We illustrate this procedure when regressors are highly persistent, a case in which commonly-used simulation methods encounter dificulties controlling size uniformly. Our approach works satisfactorily, controls size, and yields a test which outperforms the two other known similar tests.

Estudo comparativo do desempenho de controladores robustos aplicados a um sistema de tanques acoplados.

Currently the uncertain system has attracted much academic community from the standpoint of scientific research and also practical applications. A series of mathematical approaches emerge in order to troubleshoot the uncertainties of real physical systems. In this context, the work presented here focuses on the application of control theory in a nonlinear dynamical system with parametric variations in order and robustness. We used as the practical application of this work, a system of tanks Quanser associates, in a configuration, whose mathematical model is represented by a second order system with input and output (SISO). The control system is performed by PID controllers, designed by various techniques, aiming to achieve robust performance and stability when subjected to parameter variations. Other controllers are designed with the intention of comparing the performance and robust stability of such systems. The results are obtained and compared from simulations in Matlab-simulink.

Stochastic simulation of time-series models combined with geostatistics to predict water-table scenarios in a Guarani Aquifer System outcrop area, Brazil

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Sistemas de automação e supervisão do laboratório de avaliação dos processos de medição de vazão e BSW

During a petroleum well production process, It is common the slmultaneous oil and water production, in proportion that can vary from 0% up to values close to 100% of water. Moreover, the production flows can vary a lot, depending on the charaeteristies of eaeh reservoir. Thus being, the meters used in field for the flow and BSW (water in the oil) measurement must work well in wide bands of operation. For the evaluation of the operation of these meters, in the different operation conditions, a Laboratory will be built in UFRN, that has for objective to evaluate in an automatic way the processes of flow and BSW petroleum measurement, considering different operation conditions. The good acting of these meters is fundamental for the accuracy of the measures of the volumes of production liquid and rude of petroleum. For the measurement of this production, the petroleum companies use meters that should indicate the values with tha largast possible accuracy and to respect a series of conditions and minimum requirements, estabelished by the united Entrance ANP/INMETRO 19106/2000. The laboratory of Evafuation of the Processes of Measurement of Flow and BSW to be built will possess an oil tank basically, a tank of water, besides a mixer, a tank auditor, a tank for separation and a tank of residues for discard of fluids, fundamental for the evaluation of the flow metars and BSW. The whole process will be automated through the use of a Programmable Logicat Controller (CLP) and of a supervisory system.This laboratory besides allowing the evaluation of flow meters and BSW used by petroleum companies, it will make possible the development of researches related to the automation. Besides, it will be a collaborating element to the development of the Computer Engineering and Automation Department, that it will propitiate the evolution of the faculty and discente, qualifying them for a job market in continuous growth. The present work describes the project of automation of the laboratory that will be built at of UFRN. The system will be automated using a Programmable Logical Controller and a supervisory system. The programming of PLC and the screens of the supervisory system were developed in this work

Efeito de variáveis de processo no tempo de fermentação e na concentração das dicetonas vicinais totais

Among the main challenges in the beer industrial production is the market supply at the lowest cost and high quality, in order to ensure the expectations of customers and. consumers The beer fermentation stage represents approximately 70% of the whole time necessary to its production, having a obligatoriness of strict process controls to avoid becoming bottleneck in beer production. This stage is responsible for the formation of a series of subproducts, which are responsible for the composition of aroma/bouquet existing in beer and some of these subproducts, if produced in larger quantities, they will confer unpleasant taste and odor to the final product. Among the subproducts formed during the fermentation stage, total vicinal diketones is the main component, since it is limiting for product transfusion to the subsequent steps, besides having a low perception threshold by the consumer and giving undesirable taste and odor. Due to the instability of main raw materials quality and also process controls during fermentation, the development of alternative forms of beer production without impacting on total fermentation time and final product quality is a great challenge to breweries. In this work, a prior acidification of the pasty yeast was carried out, utilizing for that phosphoric acid, food grade, reducing yeast pH of about 5.30 to 2.20 and altering its characteristic from flocculent to pulverulent during beer fermentation. An increase of six times was observed in amount of yeast cells in suspension in the second fermentation stage regarding to fermentations by yeast with no prior acidification. With alteration on two input variables, temperature curve and cell multiplication, which goal was to minimize the maximum values for diketones detected in the fermenter tank, a reduction was obtained from peak of formed diacetyl and consequently contributed to reduction in fermentation time and total process time. Several experiments were performed with those process changes in order to verify the influence on the total fermentation time and total vicinal diketones concentration at the end of fermentation. This experiment reached as the best production result a total fermentation time of 151 hours and total vicinal diketone concentration of 0.08 ppm. The mass of yeast in suspension in the second phase of fermentation increased from 2.45 x 106 to 16.38 x 106 cells/mL of yeast, which fact is key to a greater efficiency in reducing total vicinal diketones existing in the medium, confirming that the prior yeast acidification, as well as the control of temperature and yeast cell multiplication in fermentative process enhances the performance of diketones reduction and consequently reduce the total fermentation time with diketones concentration below the expected value (Max: 0.10 ppm)

Avaliação da eficiência de lagoas de estabilização no tratamento de resíduos esgotados de fossas sépticas

Because of disability in public policy development in mind to attend issues of sanitation in the municipalities, companies known as "clean-blue" appeared proposing to solve a simple collection and management of wastewater produced in single or multifamily residences, commercial, hospitals, etc. In the case of an activity in which there are no worries about the fate of sewage, emerged some doubts about the degree of health and environmental safety in these companies. Traditionally, most of them makes the provision of waste depleted soil or wetland, open, usually located on the outskirts of cities (MENESES, 2001). In turn, the sludge from septic tanks exhausted, provided no technical criteria - in the soil, rivers and as an agricultural fertilizer put in risk the health of the population and environmental quality. This work was entered in the search network 5 of the Notice of the Research Program in Sanitation - PROSAB-5, aimed to study the theme 'Characterization and study of alternative ways of treating sludge from septic tanks in the city of Natal, RN', proposing to evaluate the performance of the use of stabilization ponds as a system to handle waste from septic tanks exhausted. A series of lakes studied belong to one of the largest clean-pit of Natal, consisting of two anaerobic ponds, one facultative and maturation, and a tank disinfection, the wastewater being released in the Potengi River. Samples were collected between the months of October 2007 to October 2008, at six points previously defined and judged as more appropriate to what is proposed study. The analysis results in field and laboratory showed the most significant removal of COD (88.93%), total suspended solids (94.87%), organic nitrogen (66.87%) and thermotolerant coliforms (99.88%). Some results have not reached the expected because the system under study had operating problems that have undermined the efficiency of the reactors