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Análise e previsão de taxas de câmbio: modelos univariados vs modelos multivariados
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Orientador(es)
Resumo(s)
O principal objetivo desta dissertação é aprofundar o estudo da previsão da taxa de câmbio EUR/GBP. Neste sentido, tenciona-se determinar o(s) modelo(s) univariado(s) ou multivariado(s) que melhor representa(m) a previsão da taxa de câmbio EUR/GBP, pelo que nos modelos univariados compara-se a série de dados diários com a série de dados mensais entre 1999 e 2019, enquanto que nos modelos multivariados apenas é considerada a série de dados mensais entre 1999 e 2019. Procurou-se apresentar algumas abordagens que salientassem a importância da previsão de taxas de câmbio através de um enquadramento teórico da literatura e apresentação de conceitos fundamentais dos modelos econométricos.
Posteriormente, utilizou-se o software Eviews para a determinação dos modelos e a sua previsão, sendo que os modelos de previsão utilizado foram os modelos ARIMA e VAR.
The main objective of this dissertation is to deepen the study of the EUR/GBP exchange rate forecast. In this sense, it is intended to determine the univariate or multivariate models that best represent the forecast of the EUR/GBP exchange rate, so that in the univariate models the daily data series is compared with the monthly data series between 1999 and 2019, while in the multivariate models is only considered the monthly data series between 1999 and 2019 is considered. Some approaches were presented that would stress the importance of forecasting exchange rates through a theoretical framework of the literature and presentation of fundamental concepts of econometric models. Subsequently, the Eviews software was used to determine the models and their prediction, and the forecast models used were based on ARIMA and VAR models.
The main objective of this dissertation is to deepen the study of the EUR/GBP exchange rate forecast. In this sense, it is intended to determine the univariate or multivariate models that best represent the forecast of the EUR/GBP exchange rate, so that in the univariate models the daily data series is compared with the monthly data series between 1999 and 2019, while in the multivariate models is only considered the monthly data series between 1999 and 2019 is considered. Some approaches were presented that would stress the importance of forecasting exchange rates through a theoretical framework of the literature and presentation of fundamental concepts of econometric models. Subsequently, the Eviews software was used to determine the models and their prediction, and the forecast models used were based on ARIMA and VAR models.
Descrição
Tese de mestrado, Matemática Financeira, Universidade de Lisboa, Faculdade de Ciências, 2020
Palavras-chave
Taxa de câmbio EUR/GBP Série temporal Previsão Modelos ARMA Modelo VAR Teses de mestrado - 2020