SWARCH e Volatilidade Implícita no Câmbio do Real/USD

This paper evaluates empirically the volatility prediction and theinformational content of the exchange rate variation. The comparison isbuilt on two different models. The rst is a markov switching model on theconditional variance – SWARCH (Hamilton, 1994). The second model is based onthe Garman e Kohlhagen (1983) option pricing model, from which one extractsthe implicit volatility. The results show that the SWARCH’s performance isbetter in both dimensions and contrast with the literature in two aspects:rst because the model with switching regime is not as usual as the oneswithout it, second because the best model is based on historical data ratherthan implicit volatility.