Modelagem da Taxa de Câmbio Real no Brasil: Uma Aplicação ARIMA-GARCH para o Período 2010-2018

Authors

  • Bruna Mendonça de Oliveira Universidade Federal de Alfenas
  • Alinne Alvim Franchini Universidade Federal de Alfenas
  • Letícia Lima Milani Rodrigues Universidade Federal de Alfenas

DOI:

https://doi.org/10.14393/REE-v36n2a2021-51427

Abstract

The aim of this paper is to analyze and model the real exchange rate series in Brazil and its volatility from January 2010 to March 2018. For this, we make use of an the ARIMA model in the level series and a GARCH model with asymmetric normal distribution in the residuals of the adjusted ARIMA model. Given the volatility estimated by the GARCH model, it can be concluded that the greatest exchange rate instability occurs during 2015 and 2016, which can be explained by political scenario, which led to distrust in Brazil's investors and trading and financial partners.

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Published

2021-07-21

How to Cite

MENDONÇA DE OLIVEIRA, B.; ALVIM FRANCHINI, A.; LIMA MILANI RODRIGUES, L. Modelagem da Taxa de Câmbio Real no Brasil: Uma Aplicação ARIMA-GARCH para o Período 2010-2018. Revista Economia Ensaios, Uberlândia, Minas Gerais, Brasil, v. 36, n. 2, 2021. DOI: 10.14393/REE-v36n2a2021-51427. Disponível em: https://seer.ufu.br/index.php/revistaeconomiaensaios/article/view/51427. Acesso em: 23 nov. 2024.

Issue

Vol. 36 No. 2 (2021)

Section

Artigos

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