Aviso: Se está a ler esta mensagem, provavelmente, o browser que utiliza não é compatível com os "standards" recomendados pela W3C. Sugerimos vivamente que actualize o seu browser para ter uma melhor experiência de utilização deste "website". Mais informações em

Warning: If you are reading this message, probably, your browser is not compliant with the standards recommended by the W3C. We suggest that you upgrade your browser to enjoy a better user experience of this website. More informations on

Instituto Superior de Economia e Gestão (ISEG)


ISEG 2S SEMINARS | Modelling time-varying volatility in financial returns: evidence from the bond markets

Em 26-11-2012 às 11:30 / ISEG | Quelhas 6 | ANF 3

Modelling time-varying volatility in financial returns:
evidence from the bond markets

Jointly with CEMAPRE

Cristina Amado
University of Minho, Department of Economics

The unusually uncertainphase in the global …nancial markets has inspired many researchers to study the e¤ects of ambiguity (or Knightian uncertainty) on the decisions made by investors and its implications in the capital markets.
We contributeto this literature by using the time-varying GARCH model of Amado and Teräsvirta (2011) to analyse whether the increasing uncertainty has caused excess volatility in the US and European government bond markets. In our model, volatility is multiplicatively decomposed into a stable conditional variance and time-varying unconditional volatility components. We suggest that the time-varying risk is captured by the conditional volatility parameters, whereas the time-variation in the unconditional volatility is driven by the level of uncertainty in the markets.

The speakers will be at ISEG during the afternoon after the talk, Professors and researchers interested in meeting the speaker should check the available meeting slots with the organizing team .
To join the ISEG 2S Seminar Mailing List and receive regular information contact Filomena Ferreira.

p.s. If you come to the seminars by car, assure your entrance to the park.