Estimação de um modelo auto regressivo capaz de prever a variação intradiária de uma ação do ibovespa

Abstract

Using the intraday price action of MRV, is action that makes up the Bovespa index was estimated an autoregressive model to forecast their future changes. To estimate the variation of the action was set a high minimum level of action to which the investor will operate in the market, or make purchases and sales of the action. The estimate of the autoregressive models was performed with the aid of statistical software Eviews. After refinement of the model that best fits your financial series of studies, it was concluded that the use of time series techniques in the financial market can bring higher profits for investors while minimizing the risk of loss, since the results were inconclusive.