!
"
#
$
%&'
(- + ( . " * . / +
0 " # ' 1 +
2 + 1 ,
3 * 4 %35 " + (
" 6 ( 2 * " 2 / 4 , 3 " 4 7
1 7 + * 4 %352 7 " (
" 8 " " 2
9, . , , , , , , , , , , , , , , , , , , , , , , , , , , , , , :
9,9 ; , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , <
:, , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , =
! "
<, , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , >
<, , 4 1 , , , , , , , , , , , , , , , , , , , , ?
<,9 + * , , , , , , , , , , , , , , , , , , , , , , , , , , , , ,
# $
=, , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , 9
=,9 @ " + , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , :
% $ $
A, , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , =
A,9 " , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , =
A,9, + + 6 % , , , , , , , , , , , , , , , , , , , , , B
A,: + , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , 9?
) '
C 2 " - " D " * / 2
" *4" ,
" 2 " - 6 2 *
" 4+ + + ,
* % 8 2 7 " E * "
+ " ,
* & " 2 " - " " ,
F G % "7 3. 2 ( 2 " *
+ ( ,
2 " ; G % " 2
( 3 H I2 " 3 2 " 2
E + 3 3 5 2 7 - 4+ 1
( 2 " + " 6 ,
* 2 " + + " /" D "
" D " ,
" 9???,
+ @ " J 2
* + + , . 1 (. +
. " " + J " , "
+ " " , " 2 " " + "
# %'2 " + + . , +
+ 2 (. 2 ( " "
+ + J " ,
. " + J" D 1
/ + , . + E " 2 7 (
* ( + 6 , " / " # K '2
( ( + 6 " 2 " +
" ( 1 , . " . " (
* 4 %35 + " " # '2 ( 2
7 D ( 1 , " (.
+ 4" 2 7 ( 6 "L
M " 2 ( + 6 7 + 2
2 7 ,
1 %35
" " J" J" + 2 7 + +
7 2 + 6 ,
M + # >>B' 7 ( . + 2
( " , 7 " +
+ @ " 2 . + " , 2 (
" + + 1 2 7 . "
+ , M + # >>B' 7 2 " ( +
1 2 * 4 %35 ( + 6 ,
M N # >B?' + 7 D " "
" " 4 " * " 2 ( "
6 J - " 1 2 ( 2 " 6 ( 2 * " 2
/ 4 + J " 7 ,
( , " D ( 7 1
( , 2 5 2 1 M # >>>' # >>>'
+ - " " + . / "@ (
#%O$P O'2 4 4+ ( #3( ' Q ( ;, 7
+ " " # # >>>'' %35 # 2 ' # # >>?''
* + 6 * 2 4 "
D " * K %35 # # >>>'', ( #9?? ' 1
4 " # '2 "
* 4 %35 + " " , 7
%35 # 2 ' ,
; ( + 2 7 " 2
+ + M N # >B?'2
+ * 4 %35 1
M + # >>B', + 2 " + "
" + 1 ,
( * 2 E/ " +
" 1 1 ( , ;
" 2 + 1 +
+ , ; 7 2 + * 4
%35 7 + + M N # >B?', ;
/ 2 + + " " +
* 2 C D " + C + 1 2
1 + " , . R
" " 6 ( ,
; " 4 " 7 * 1
1 1 ( ,
P 1 . 2 " 6 ( 2 * " 2 / 2
4 (. C + , 3 J"
! ' ( 4
? $?B$ >>< . 9<$ ?$9?? S ' " 6 ( 2 * " 2 / 4 2
( 4 ?B$? $ >>< . 9<$ ?$9?? S '
( 4 ?A$?<$ >>B 9<$ ?$9?? , * (
" * " " = ,
*
+,
-" " - , (
4 ? $?B$ >>< ?:$?<$ >>B2 . 1 @
* 4 %35, " - ( 4 ?A$?<$ >>B 9<$ ?$9?? 2 .
1 * 1 + C * %35 ,
3 2 D (" - * 2 6
" , ; D " 2 4+
4 ? $?B$ >>< 9<$ ?$9?? 2 J" .
+ " + 9 :,
P " " 4 " " D (" - . - E
, + 4 " & 7 M # >B?' " 7 - 4
E " 4+ " J >>T2 " + Q ( 2
D " , ; ( (. " 4 " " +
D (" - , 3 - . " /" " 2
" + " " 2 + 7 2
" * ,
( + (. 2 * + ("
-, . 7 4 ( / + 2
4 " C " ./ " 1 ( >><2 +
" + , 2 ( U / "@ (
( >>= " ( + + ,
+ + 2 7 + + 4
" C " V ( >>W, * +
( + :2 D " , ; + " + D "
1 " + @ " ,
% " " # " ' # 2 " % ' * "
( ,
; (" - " ( 4 + " C
E %R >>B2 ( / + , " (.
( ( 2 + 7 P ,
* + ( + :2 D " ,
" + D " * + " ("
-7 , " * " 4 " X
G- M / # >WB' * " , . +
#+ Q ( 9 <2 D " ', X ("
-2 4 " X " + D " " 2 ( " *
" #+ Q ( 9 <2 D " ', 2
* " 4 " X " + D " "
+ 7 #+ Q ( : =2 D " ', + 1
" ( @ " + ,
*
; E/ 6 ( 1 2 4
+ , "
2 " ( + 6 !
# '
2 . 2
" 4 2 @ . + @ "
@ . ,
; / + + +
M + # >>B', 2 + 7 ( +
,
*
)
7 * 1 M + # >>B' 7
* 1 " E ( " , 7
. * " " " 4 " !
#9'
. + Y . " " ,
2 " + !
#:'
+ 12 !
" 7Z 2
#<'
1 2 .
, 7 2 " " "
" 2 !
#='
* . !
Q " 2 7 !
1 8, 2 J 7 !
#A'
. + @ " # M + # >>B'', 3
+ @ " . ( + + 2 " ,
7 " ( + 6 2 !
#W'
" " 7 6
!
7 J" 7 + + @ "
" + . 7 " " . " 2 + @ "
. " ,
* " " 2 / !
#B'
. " + @ " 1 2 7
M + # >>B' 7 2 D " " 2
+ @ " 1 * 1 " !
#>'
+ 2 + @ " 1 . " +
#+ 2 +2 ( M G ([ #9?? '', +
1 1 7 + + @ " 1 , H ; M
#9?? 2 9??9' + " D " " 6 7 + ,
#9?? ' * " " 2 " "
7 + @ " 1 . " 7 .2 + @ " ,
M + # >>B' * " " 4 ,
7 7 + + 4 + 2
M + # >>B' . + 7
. J" , 2 + ( +
* 7 # '2 1 + . +
+ * 8 " # / 2 " " 6 ',
/ " , 2 +2 ( M G ([
#9?? ' 6 " " " " , #9?? ' 7
* 7 D " E . 9= 2 " ( ( + "
+ 1 " 1 7 , M G #9?? '
( + " * 7 D " E 2 2 = , (
" " * 7 D " = 2 * 7 D " " + D "
" 4 " X =T , "
. ( 2 " / 2 H ; M #9?? '
" D " + @ " 1 , " J" 2 6 7
!
. / 7 " + 2 7 7
( + J + , . " ,
7 - " "
. " D " + @ " 1 ,
; ( " + + @ " 1 !
# ?'
:9 . R ( + 6 BAW R ( + ,
+ 1 D " 3, "
+ ( " + 1 2 J" " 7 + @ " .
+ @ " + @ " 1 2 92 D " 3,
!
(- + . * 4 %35 1
+ + , ; ( 2 " " (
( , " C + 6 * 2 7 *
* ( ,
* 7 . " " , ; 2
+ " . 2 7 7 ( ,
" + @ " " " " . " "
* " 8 " , + " / " 2
2 " " " + , *
" " " " + @ " " " . " " *
%35 2 1 2 G M % ( # >BW',
3 ( 2 " D "
2 * . " " " " % , *
7 6 !
# '
# 9'
2 . " - * 4+
. %35 + + # >B9', ( "
" " " " " 1 + 2
7 * 1 J , . %35 +
# >BA'2 7 * " " ,
2 " * + " "L # >WA'2
7 2 " 7 + D " + 7 " 7 + ,
* 4 %352 ( 2 %35 #; # >>?''
Q %35 #\ L # >><'', ( " 1 " * + " ,
" " 2 * ( . " "
7 6 7 " D " 2
" " 7 " 2 " / 2 - "
%35 ,
*
+
P 1 " . * L L " Y 12 1
+ " * 7 , % 1
" 6 " 2 %35# '2 %35# '2
%35# ' Q %35# ', Q + (
D " ,
" " " . * L L 2 7
%35#B'2 " . * " Y 1 %35#W', 1
1 + 2 E + %35#B'
%35#W', ; " + D " - 2 4+ =T
J"@ " 2 7 2 J" +
, 2 " 7 + @ " " " !
# :'
; %352 E " +
. " " , " " ( " . * 2 L L " Y 12
7 . %35 #W', ( 2 " J"
J" + ,
" . * " Y 12 ( * 2
%35 " %35 2 # 2 ', " . *
L L 2 7 2 7 " " + 2 #:2:',
1 1 + 2 " E %35# 2 '
+ %35#:2:' " + D " - 2 4+
" J >=T, ( + + D " " " " 1
%35 # 2 '2 " %35 #:2:' " + , 2
" * %35#:2:' %35 #:2:'2 " + @ " " " !
# <'
; " %35 %35 " . * L L
* " #92:', & " " " . *
" Y 12 * # 2 ' . 7 , 1
+ - " 4+ =T J"@ " ,
+ @ " " " 2 " 2 . !
# ='
@ %35#92:' J" + 4+ " J
>=T #+ Q ( B2 D " ', ; " %35 #92:'2 @
(. J" + #+ Q ( B2 D " ', 2 " "
* "
,
( " . * 2 L L " Y 12 *
7 2 ( 2 Q %35 Q %35 2 . # 2 ', 2
. * " 2 + @ " " " . !
# A'
" " ,
* * - .
4 2 " + D " D "
, 4 " X . . / J" + 4+
" J >=T, X 7 4 " + D "
D " %35 %352 " 7
" ( " + , ; %35 Q %35
" " + 7 4 ,
R 2 @ " " J" J" + 4+
J"@ " =T, + " + + Q (
A2 W2 B >2 D " , 2 7 *
,
*
/ $
; ( 1 + 6 C * 2 * , 7 J"
7 . 4 2 2 * 1 + 4
* 1 + 2 ,
+ 6 92 D " ,
. + * 2 + 2 +
" 2 7 2 1 ,
#
$
2 + +
M N # >B?', (- + / +
" " ( " J
-" 1 2 / 1 " 2 " 8 " " Q ,
" + " " 2 7 "
" " 4 " 1 * + 4+ , M N
# >B?' " !
# W'
#*
0
* 7 ( * " - * "
- " + , (
- 2 / 4 " + , " 6 / 2
4 * " 1 ( J ! 2
" " +
( M N # >B?' . " " !
N? # B'
* 1 + +
+ + %35 + + ,
3 - " 2 M + # >>B' 7
+ + " + ,
" * 2 1 (.
" ( !
N " # >'
M N # >B?' 6 J" D " +
1 " ( " " , J J" D " +
#2 N? # N? ,
J" D " 2 N . J" 7 N? 2 N J" 7
1 ( " 1 C + @ " + ,
E/ 2 ( 4 L # >WA'2 1 " 6 4
/ 2 7 " "
N9 ! #9?'
+ 2 + J" 7 2 1
* ( 7 " 2 * 4" # J '
, M N # >B?' 7 N9
" " * N9 2 M N # >B?' "
J" " N: . . + " 6
/ 2 4 2 ( * " !
N: ! #9 '
. " , M N 7 1 + @ "
,
M N ( " + " + @ "
" "4J" , 4 " +
C " . !
N< ! " ! ! " #99'
4 " J" D " N<
M N # >B?' (. J" N< 2 7
" 1 2 7 ( E
!
N= ! " #9:'
7 J" D " 7 N= 2 +
" ,
R J" N< + " * " * " 2
.2 !
NA N< #9<'
M N # >B?'2 + @ " 1 7
2 J" 7 N< 2 " NA ,
#*
1
' .
. $
" + M N # >B?' . *
2 * * 4 %352
1 @ " , 2 1 + 6 " ( 7
@ " " + ,
; 9 " + D " " + + 2
2 !
N] ^ N] ^ $ #9='
N] ^ N] ^ N] ^ $ #9A'
N] ^ N] ^ $ $ #9W'
N] ^ N] ^ N] ^ $ $ $ #9B'
] ^ $ . 4 ( " , " J" 2 %# '2
%#9'2 % # 2 ' % #929' @ " +
M N # >B?', 3 ( 1 + 6 *
92 :2 < =2 D " ,
%
$
$
; " * + + 6 * + *
* 4 %35 + 2 ( +
1 , Q = 2 W M
N # >B?'2 N] ^ 2 ] ^ . B * 4 %352
% ,
X C + 6 * 2 B + %352
% 2 7 " + N] ^
] ^ % 2 % 7 * @ " "
M N # >B?',
M + # >>B'2 +
+ C + 1 , P 1 D ! # '
1 7 " . # 'S #9' ( . # 'S #:'
7 " C / + " # %',
P + +
6 , 4 " 6 + J" " ( 7
+ ( 4 " , P * *
# >>A'2 " " 6 Q ( , " " . 7
M N # >B?' ( , ( . 7
" 1 " , * 1
Q % #+ K #9???' I #9??9'',
%*
2 7
+ + + 1 , J
!
& &
' #9>'
& &
' #:?'
. + 1 2 R &
. + + + ,
; " + + 2 * 4 %35
( . %35 #92:'2 Q ( 2 D " 5, X
+ 2 . N<2 " " *
N= #+ Q ( 92 D " 5', 3 2 %35 #92:'
. 7 7 N=
" " ,
" 7 * 4 %35 + + 2
( + * %35#92:',
M N # >B?'2 (
+ * % # 2 ' % #929' N<,
%*
'
J + " # %' " / 1
" 4+ " J , Q 2 @ " 2
1 4+ " J , - +
7 J / !
( 7 * ( . " 2 "
" " 2 .2 7 !
#: '
J % .2 / "
+ " J !
% #:9'
. 4+ " J + , ; 7 J + %
" + 2 , 7 J
% , - & 7 !
& ( & &
2
%
& % & #::'
_ 2 7 ( + 2 + @ "
* , 7 " 7 % . + 2 /
R + " , * 1 " +
" J % " Y # >>B', ( 7 2
( 2 )2 7 !
)
*
. + @ " + @ " " , 2 J
+ " 4 " ( " 7 " ) ( 2
* * 7 !
)
* ) *
7 " 7 !
) *
) *
J + +
!
,
! 3
+ , + ,
+ ,
!
!
7 !
+ , )
*
)
* #:<'
3 * 2 ( " + " J + ,
( 7 7 2 " + " J
% 2 7 . !
"
)
* %
"
)
* #:='
; 7 " ( 2 + " . +
* 2 ( % " 2
% 2 !
% & # #:A'
3 " + 6 % 2 4+ " J >?T2 >=T >>T,
+ 6 2 9 :2 D " 2 " %35, ;
D " 2 < =2 + 6 * @ "
+ M N # >B?',
%* * $ . $ (
+ 6 % * ( 2 + " J
R + 1 7 ( + 7 + 2 .2 R
* %, ( E 7 " 4 7 /
?T #BW + 1 '2 =T #<< + 1 ' T #> + 1 ' + 1 2 " * 4+ " J 2
" 7 % 2 2 7 *
" D " 5,
% " ( + 1 4+
" J >?T >=T2 J" + R *
% , 4+ " J >>T2 % * A + 1 2
+ > * #+ Q ( ',
; " + M N # >B?'2 4+
" J >?T >=T2 N9 . R " 7 2 @ " 2
R * + " J ?T =T
, 4+ " J 2 " C @ "
%# ' %#9'2 R * * + " J , X
" + C @ " % # 2 ' % #929'2
2 4+ >=T " J 2 R * +
" J 2 N?, 4+ >>T " J 2 R " 7
R * * + " J 2 N92 N< N=2
@ " " #+ Q ( 9',
+. %35, 4+ >=T
" J ( 2 R *
+ " J , 7 7 2 4+ " J >?T
%35# '#92:' Q %35# 2 ' D R * J" + *
# ?T', ; " 7 " " % 4+ " J >>T2
%35#W' /" R * + " J 2 7
7 2 ( 2 Q ( ,
J 1 !
-7 E " " . " (
2 .2 - & 7 M 2 - E
4+ J"@ " =T2 " ( + 2 Q (
: <, . 2 7 1 " (
%35 /" " " J"
" ( + , 7
/" " # E ' " ( / " J" .
+ 1 2 "
%35 N92 Q ( <,
/ ; 2 " * ( 1
#Q ( : <'2 . 7 , 3 " 2 + " ( (
4 " 1 , 4+ " J >?T2 %35# '
%35# ' 2 7 %35# ' R * 7
* + " J , & %35# ' Q %35
2 R * + " J , X
+ 4+ " J >=T2 % ( ( 4 "
* " %35 % " "
( ; , Q J" + 4+ " J >>T2
% 4 " 2 1 R * " 7 " " %
, " 2 + " J ,
; " + 2 % " " 1 "
" R * + " J , - "
2 7 % 4 " + , 4+
" J #>?T2 >=T >>T' J" + ,
" 2 N< N= /" 2 4+ " J
R * * " # " 2 " 4+
J"@ " ', 4+ >?T J"@ " 2 2
@ " " 2 R * " 4+ " ,
4+ >=T " J 2 N9 N:2 ( , &
4+ " J >>T2 . N9 N:2 7 2
NA,
%*
$
)
3 ( 1 2
* %35 #92:' N=2 " + , 7 C + 6 2
* %35#92:' N< % #929'2 " + ,
+ " ( % * " " + 2
E * " ( 7 , 1
( 4 " " " + " 2 " (
* + + N< N=2 " @ "
+ #Q ( A', %35# ' Q %35# ' (.
( 2 7 7 2 %35# ' 7 + " J
R * 2 + ( E/ , %35# '
/ + " J R * 2 4+ " J
>?T2 7 7 4+ >=T >>T " J "
+ #Q ( =',
" @ M N
# >B?', @ N:2 N< NA * " 2
M N # >B?'2 * 1 + @ " , @
7 6 7 + ?2 W ?2 9 " +
@ !
N< ! " ! ! " #:W'
7 + ?2= ?2? > " + ,
J" ( 1 + 2
" " " @ 2 " N: NA2 2
" N<, 3 " 7 2 " 2 "
2 1 + , J" 7 +
@ 4 , ; D "
2 2 *
+ 6 @ " " 2 2 9 :, (
7 * ,
&
'
(
; ( + 2
1 ( " ( 2 + 1 2 7
. J " 1 7 + + @ " 1 , + @ " 1
2 . + + @ " 2 . 2
. (. " , 7 7
" " 2 J 7 2 7 + .
" ,
3 + * 4 %35 "
M N # >B?' " ( + 1 2
M + # >>B', 3 " 7 2 ( + 2 1
7 " . # '2 " %35 . %35 #92:'2
M N # >B?'2 . N<2 7
, 1 ( . # '2 "
%35 . (. %35 #92:', & " + 2
2 . N=, ; 2
* N= %35 #92:'2 " + ,
3 (. " " + * 4 %35
+ " - C @ " " , "
%352 ( + 2 2 .
%35#92:', 7 7 + * @ "
2 " - @ " 2 ( + 2 .
N< % #929', ; " 2 + 2
* 4 %352 " %35#92:', 2 + .
N< % #929',
" 2 + " 2 7 " * 1
( ; 2 " J + 2 (
7 1 , " 2 " "
% ( ( 4 " 1 , ; " 2 ( +
/" N< N=2 @ "
+ , R " * 4 %35 7 (
%35#W' %35 #W'2 R * * + " J 2
" % " " 4+ >?T " J , %35# '#92:'2
Q %35# '# 2 ' %35# '#:2:' R * +
" J ,
2 " " 4 7 2 " ( % 4 " 2 N<
N= ( 7 %35,
%35 2 7 " + 2
" " 2
+ + " ( N= N<
, 2 " " 2
%35 #92:' %35#92:' ,
; " + + +
" 2 / * " " " , 7 7 %35
/ " J" " . + @ "
" " 2 + , 2 "
" " " + ,
"4 2 " + 2 + "
+ - 2 + C "
" @ " " + , 2 " "
2 " ( % 4 " 2 N< N=
/" 2 " @ " , " 2
" %352
" @ " , + D " 7 +
" 7 ( C " @ " , 3 " 4
2 7 " C + 2 " " N<, 7 2 +
* " + . + + " 2 " * 4
%352 / D 2 7 ( ( 1 " @ " 2
N< 7 ,
2 '
` a 2 Q, ,2 9???, b % U " [ * 5 7 "[ c, &
* M " " " 2 , B2 ; , 9,
`9a 2 Q, , M +2Q,2 >>B, b Y L " ! d 2 [
+ "" " c, " " % + Y2 ,:>2 <!
BB= >?=,
`:a 2 Q, ,2 +2 Q,2 ( 2 , e, M G ([ 2 ,2 >>>, bQ ( *
/" % [c, ; %2 K L 2 ; , A>A ,
`<a 2 Q, ,2 +2 Q,2 ( 2 , e, M G ([ 2 ,2 9?? , b
" % 1 [c, ; %2 K L 2 ; , B A?,
`=a 2 , 3, 2 >>A, b 5 3 6 !
Q J" D " c, 2 $ ,
`Aa H ; 2 , , M 2 ;,2 9?? , b5 Y "" [ "
/ ( * % [fc,
`Wa H ; 2 , , M 2 ;,2 9??9, b " " [ * %
[ " " [ c, & * % [
" " [2 #9??9'2 A<2 9=: 9B?,
`Ba "L2 ,2 >WA, b * "L " [ 3 c, " *
>WA * " " " " 2 " "
" 2 WW B ,
`>a +2 Q,2 >BA, b 1 + 3 5 L " [c,
& * " " 2 : ! :?W :9W,
` ?a 3 ( 2&,d,2 G 2 ,K, M "L [2 ,3,2 >>W, Q " " * "
L 2 " 2 " 2 ;&,
` a Y 2 N + 2 >>B, [ % L ! Q ; Y " " * % L ,
& K [ M G 2 3 " 2 ,
` 9a 2 %,2 >B9, b + 3 5 L " [ Y *
" * PN U c, " " 2 =?! >BW ??B,
` :a 2 %,2 G 2 , M % ( 2 %,2 >BW, b * Q [ % L
Q " ! %35 c, " " == # >BW'! :> <?W,
` <a 2 , , M ,&, N 2 >B?, b * " [ "
* 5 " c, & * =:! AW WB,
` =a 2 &, ,2 >>>, b " [ * 1 "
P %35 c, Q 1 % + Y * " " 2 , >2 ! = =A,
` Aa & 7 2 3, , M 2 ,N,2 >B?, b I" * [2 L " [
" * c, " " G 2 A!9== 9=>,
` Wa G- 2 , ,2 M /2 , , ,2 >WB, b * G "L * Q c,
L 2 , A=2 9! 9>W :?:,
` Ba ; 2 ,2 >>?, b3 L " [ ! Y " ,c
" " 2 =>! :<W :W?,
` >a 2 %, 3, ,2 9?? , bP 5 7 "[ "L L / 3 " 2
" % 1 % " c, P + [ 2K L
2 ; , 9?? $A,
`9?a L 2 ,2 >WA, bQ % K L ( ! / *
" * " # H " 'c, K L 2
P + [ * ,
`9 a 2 , G, ,2 5 2 G, N,2 1 2 G, , %, M 2 ;, , 3, , 2 >>>,
b + / " [! 3 + [c, Q 1
% + Y * " " 2 , >2 ! =W ?>,
`99a I2 , ,3,2 9??9, b Q." " % fc 2
$ ,
`9:a ( 2 ;, , ,2 9?? , b / + c, % M 2
; <<,
`9<a K 2 5,2 9???, b [ 3 "L * c, " " AB2 ?>W 9A,
`9=a \ L 2 &,2 >><, cQ L " ,c & * " " [ "
3 2 B! >: >==,
D
"
10-Oct-1995 19-Dec-1996 04-Mar-1998 24-May-1999 04-Aug-2000 24-Oct-2001 7.5
8 8.5 9 9.5 10
Amostra de 04/01/1994 - 24/10/2001
! + # ',
10-Oct-1995 19-Dec-1996 04-Mar-1998 24-May-1999 04-Aug-2000 24-Oct-2001 -0.2
-0.15 -0.1 -0.05 0 0.05 0.1 0.15 0.2 0.25 0.3
Amostra de 04/01/1994 - 24/10/2001
9! % ,
10-Oct-1995 19-Dec-1996 04-Mar-1998 24-May-1999 04-Aug-2000 24-Oct-2001 0
0.05 0.1 0.15 0.2 0.25 0.3 0.35
Amostra de 04/01/1994 - 24/10/2001
:! ( % ,
D
"
3 04
0 ' ' $ - 5 0+/
?B$>< ?:$>B ?<$>B ?$? ?B$>< ?$?
. ?2?? ?2???? ?2???A
?2??9W ?2???= ?2?? :
+ ?2?9WA ?2?9B> ?2?9B9
?2 9>> ?2>:?B ?2=<=
3 29B:? B2= 9: =2 99:
/ ?299B ?29BB9 ?29BB9
4 ?2 A99 ?2 W9: ?2 W9:
& 7 9,A?:2>= B,B B2?? ?,>AB2<:
+ ?2???? ?2???? ?2????
3 04
6 ( ' ' . '
- 5 0+/
?B$>< ?:$>B ?<$>B ?$? ?B$>< ?$?
* 3 3 3 3 3 3
?2?B<A ?2?B<= ?2??WB ?2??WB ?2?<=< ?2?<=<
9 ?2?<BA ?2?=A ?2? AA ?2? AW ?2?: W ?2?::B
A ?2 B= ?2?W<? ?2?? A ?2?? 9 ?2?=A= ?2?:<W
9 ?2?9>B ?2? 9 ?2?=:9 ?2?==> ?2? 9: ?2?::>
9< ?2? W? ?2?B<W ?2?W:= ?2?=A< ?2?<AA ?2?ABA
:A ?2?=BW ?2?>>A ?2??<9 ?2? : ?2?:?W ?2?A 9
" J"@ " 4+ " J >=T,
3 04
0 ' 7 - 5 0+/
?B$>< ?:$>B ?<$>B ?$? ?B$>< ?$?
4 " X + 4 " X + 4 " X +
A2= AW ?2? ?W ?2?=9B ?2B B: :2AA=9 ?2?==A
9 B2AA<= ?2? : ?29>: ?2BA:W =2<<BB ?2?A=A
A :<2>>A: ?2???? W2?AAW ?2: <W 9W2> = ?2???
9 A92=BBW ?2???? 992<BA< ?2?:9< =>29W?W ?2????
9< WB2< B ?2???? <<2::=A ?2??W? W92 BWA ?2????
:A >=2: B: ?2???? =B2A=<? ?2??>> BW2AWA= ?2????
3 04
6 ( ' ' . '
7 - 5 0+/
?B$>< ?:$>B ?<$>B ?$? ?B$>< ?$?
* 3 3 3 3 3 3
?29?W9 ?29?W? ?29>>A ?29>>: ?29AB ?29AB?
9 ?2< 9W ?2:B== ?2 ::> ?2?<B< ?299BW ?2 ABW
A ?2 <=: ?2?B:= ?2 ?<9 ?2?BW ?2 B ?2?A==
9 ?2 AA? ?2 :9 ?2?=W: ?2?9<? ?2?>< ?2?9>:
9< ?2?<=B ?2? < ?2?:W? ?2??9W ?2?:>> ?2? A:
:A ?2 ??9 ?2?=W< ?2?A=: ?2?W99 ?2?W=> ?2?A<=
" J"@ " 4+ " J >=T,
3 04 #
0 ' 7 8 - 5 0+/
?B$>< ?:$>B ?<$>B ?$? ?B$>< ?$?
* 4 " X + 4 " X + 4 " X +
:>2 ?>? ?2???? WW2> ?: ?2???? 9W2W>>: ?2????
9 ><2 9A: ?2???? >:2<=9= ?2???? 99?2W 9: ?2????
A :?929:<A ?2???? 9<2==B< ?2???? :992><? ?2????
9 :>=2WA : ?2???? <<2:B>A ?2???? :>=2=> < ?2????
9< <:?29:>? ?2???? A929>BA ?2???? <:B2B < ?2????
:A <W:2??< ?2???? W=29==? ?2???? <WW29BA< ?2????
D
" 3
04-Jun-1998 14-Jan-1999 26-Aug-1999 11-Apr-2000 20-Nov-2000 02-Jul-2001 0
0.05 0.1 0.15 0.2 0.25 0.3 0.35
Amostra de 06/04/1998 - 24/10/2001
Retorno (valor absoluto) Volatilidade Realizada
! 1 + ( ,
D
"
200 400 600 800 0 0.05 0.1 0.15 0.2 ARCH(7)
200 400 600 800 0 0.05 0.1 0.15 0.2 ARCH-M(7)
200 400 600 800 0 0.05 0.1 0.15 0.2 GARCH(2,3)
200 400 600 800 0 0.05 0.1 0.15 0.2 GARCH-M(2,3)
200 400 600 800 0 0.05 0.1 0.15 0.2 EGARCH(2,3)
200 400 600 800 0 0.05 0.1 0.15 0.2 EGARCH-M(2,3)
200 400 600 800 0 0.05 0.1 0.15 0.2 TARCH(2,3)
200 400 600 800 0 0.05 0.1 0.15 0.2 TARCH-M(2,3)
200 400 600 800 0 0.05 0.1 0.15 0.2 Volatilidade realizada
! 2 %35,
200 400 600 800 0 0.05 0.1 0.15 0.2 ARCH(7)
200 400 600 800 0 0.05 0.1 0.15 0.2 ARCH-M(7)
200 400 600 800 0 0.05 0.1 0.15 0.2 GARCH(2,3)
200 400 600 800 0 0.05 0.1 0.15 0.2 GARCH-M(2,3)
200 400 600 800 0 0.05 0.1 0.15 0.2 EGARCH(2,3)
200 400 600 800 0 0.05 0.1 0.15 0.2 EGARCH-M(2,3)
200 400 600 800 0 0.05 0.1 0.15 0.2 TARCH(2,3)
200 400 600 800 0 0.05 0.1 0.15 0.2 TARCH-M(2,3)
200 400 600 800 0 0.05 0.1 0.15 0.2 Volatilidade realizada
9! + + 2 %35,
D
"
3 04 ,
L L " Y 1 L L " Y 1
%35# ' <2A?9:> <2=B 9? %35 # ' <2A99AW <2=>A B
%35#9' <2W::BB <2W?W:> %35 #9' <2W:=?= <2W?:9A
%35#:' <2WA9A <2W:?B9 %35 #:' <2WA99 <2W9= 9
%35#<' <2WW?B> <2W::W> %35 #<' <2WA>> <2W9W=9 %35#=' <2WW=A< <2W::9= %35 #=' <2WW:A: <2W9=>< %35#A' <2WW:>9 <2W9A9: %35 #A' <2WW > <2W B>9 %35#W' <2WB>9: <2W:A9< %35 #W' <2WBA>: <2W9BA= %35#B' <2W>?9< <2W: >= %35 #B' <2WBW>? <2W9<:9 %35# 2 ' <2B?<9W <2WWWWB %35 # 2 ' <2B? >W <2WW? B %35#92 ' <2B?9 ? <2WW?: %35 #92 ' <2W>>WB <2WA9AB %35# 29' <2B?9?B <2WW?9> %35 # 29' <2W>>W> <2WA9W? %35#929' <2B? >9 <2WA<B9 %35 #929' <2W>>A? <2W=W9 %35#:29' <2B?>BW <2WAW<B %35 #:29' <2B?B 9 <2WA?<: %35#92:' <2B?>A9 <2WAW9: %35 #92:' <2B?B9? <2WA?= %35#:2:' <2B WW <,WA<?B %35 #:2:' <2B ?9: <2W=W9<
%35# 2 ' <2B:<=? <2B?9W %35 # 2 ' <2B:9AB <2W>==> %35#92 ' <2B:9A< <2W>=== %35 #92 ' <2B:?B <2WBB<9 %35# 29' <2B:9B> <2W>?=? %35 # 29' <2B: :A <2WB:AB %35#929' <2B<W<A <2W>>WW %35 #929' <2B<=WW <2W>9WB %35#:29' <2B<WWB <2W><W> %35 #:29' <2B<A<> <2WBB9? %35#92:' <2B<B?9 <2WB>W: %35 #92:' <2B<AW? <2WB: %35#:2:' <2B:W<< <2WW:BA %35 #:2:' <2B:=B= <2WAA>A Q %35# 2 ' <2B9:=: <2W> W< Q %35 # 2 ' <2B99?= <2WB<>A Q %35#92 ' <2B9 :: <2WB<9< Q %35 #92 ' <2B >B= <2WWW<A Q %35# 29' <2B99A> <2WB=A? Q %35 # 29' <2B9 <A <2WW>?W Q %35#929' <2B9 =: <2WW> < Q %35 #929' <2B9?<> <2WW9B?
" 7 " " ,
3 04
3 $ 9
%35 5?! 5 !
#<' #=' #A' #W' #B'
# ' ?2????? ?2????? ?2????? ?2????? ?2????? #9' ?2????? ?2????? ?2????? ?2????? ?2????? #:' ?2??9?< ?2????W ?2????= ?2????? ?2????? #<' ?2? >A ?2??>:A ?2????? ?2?????
#=' ?2=?>?< ?2????= ?2????
#A' ?2????W ?2????
#W' ?2?BWA:
%35 5?! 5 !
#<' #=' #A' #W' #B'
# ' ?2????? ?2????? ?2????? ?2????? ?2????? #9' ?2????? ?2????? ?2????? ?2????? ?2?????
#:' ?2??=? ?2??? W ?2??? : ?2????? ?2?????
#<' ?2?99=W ?2? W=B ?2????? ?2?????
#=' ?2A?B 9 ?2????A ?2????
#A' ?2????W ?2????9
#W' ?2?B>A=
# 27' * ,
3 04
3 $ 9
%35
5?! 5 !
#92 ' # 29' #929' #:29' #92:' #:2:'
# 2 ' ?2BA:WW ?2>9<A ?2 W9BA ?2???BW ?2???>> ?2??? 9
#92 ' ?2 WA:? ?2???BB ?2?? ?? ?2??? 9
# 29' ?2 W:>? ?2???BW ?2???>> ?2??? 9
#929' ?2??9:> ?2??9W ?2???:9
#:29' ?2?=:W>
#92:' ?2?<AWW
%35
5?! 5 !
#92 ' # 29' #929' #:29' #92:' #:2:'
# 2 ' ?2>:< 9 ?2BB?W= ?2 W:>: ?2???AW ?2???A< ?2????B
#92 ' ?2 W<W: ?2???AW ?2???A< ?2????B
# 29' ?2 WA=B ?2???AW ?2???A= ?2????B
#929' ?2?? B ?2?? W< ?2???99
#:29' ?2?<WB:
#92:' ?2?=??=
# 27' * ,
3 04
3 $ 9
%35
5?! 5 !
#92 ' # 29' #929' #:29' #92:' #:2:'
# 2 ' ?2=WB:> ?2 <> ?2????: ?2???? ?2????? ?2??? :
#92 ' ?2????: ?2???? ?2????? ?2??? =
# 29' ?2??? ? ?2????: ?2???? ?2???<>
#929' ?2 :? : ?2?::B? 2?????
#:29' 2?????
#92:' 2?????
%35
5?! 5 !
#92 ' # 29' #929' #:29' #92:' #:2:'
# 2 ' ?2=B AW ?2?>:>? ?2????9 ?2???? ?2????? ?2???
#92 ' ?2????: ?2???? ?2????? ?2??? :
# 29' ?2??? ? ?2????: ?2???? ?2???=
#929' ?2 ?::A ?2?9WW: 2?????
#:29' 2?????
#92:' 2?????
# 27' * ,
3 04 #
3 $ 9
Q %35
5?! 5 !
#92 ' # 29' #929'
# 2 ' ?2>>= A ?29A=:< ?2 :><>
#92 ' ?2 :><>
# 29' ?2:: =<
Q %35
5?! 5 !
#92 ' # 29' #929'
# 2 ' ?2>BWA< ?299AA ?2 ?B ?
#92 ' ?2 ?B
# 29' ?29B>>A
# 27' * ,
3 04 %
0 $ !:; <
%35#W' %35 #W'
Q 3 J" + 3 J" +
. " "
?2??9 9: ?2???< ?2??AB = ?2>:A> ?2 ?<<A: ?2?? ?2 ?<<=B ?29:B= ?2??<>=: ?2??: @ " " "
?2??? A ?2???? ?2??? A ?2????
?299:W ? ?2???? ?299<9: ?2????
?29<<A?< ?2???? ?29<<:=B ?2????
?2 9A:=< ?2? AW ?2 9A?BW ?2? W9
?2?>> W9 ?2??>W ?2?>B<9< ?2? ? ?2?=>A<9 ?29??> ?2?=BW?: ?29?WA ?2?9 ><W ?2<?>B ?2?99 <? ?2<?<A ?2 W <>9 ?2???9 ?2 W?9BA ?2???9
3 04 &
0 $ !:; <
%35#:2:' %35 #:2:'
Q 3 J" + 3 J" +
. " "
?2??9 9> ?2???< ?2??: W= ?2?<?W ?2?B?99A ?2? A ?2?WW><9 ?2? >> ?2?A <=9 ?2<=:? @ " " "
:2? ?= ?2??>> 92BW ?= ?2? ?=
?2 =BWA> ?2???? ?29= >=? ?2???? ?29=::W> ?2???? ?2 >=>< ?2???? ?2 99WB< ?2???? ?2 >=>< ?2???? ?2<=9::B ?2???? ?2<<>W?= ?2????
?2 A=BBB ?2???? ?2 AB? B ?2????
?2W<>9<: ?2???? ?2W=9>? ?2????
3 04 "
0 $ 0 !:; <
%35#92:' %35 #92:'
Q 3 J" + 3 J" +
. " "
?2?? 9W: ?2?< ?2??9< 9 ?2 ?B ?2 :?> ?2?? 9 ?2 ?<<=W ?2??:?
?2?A<=?: ?2<: ? @ " " "
?2?B><=B ?2? <9 ?2?> :: ?2? 9: ?2 >A>:A ?2??AA ?2 >:>>: ?2??W9 ?2 =AW A ?2???= ?2 =BWB< ?2???< ?2??=9>= ?2>AWB ?2??W>9: ?2>= B ?2?= 9<9 ?2=?<? ?2?=<>=? ?2<WW9 ?2 : <:: ?2?=:B ?2 <?WA> ?2?:>B
?2 ?=AA? ?2? WW ?2 ?::WW ?2?9?W
2A= W=A ?2???? 2A<><:W ?2???? ?2A=W9?9 ?2???? ?2A=<>>< ?2????
3 04 =
0 $ 3 !:; <
Q %35# 2 ' Q %35 # 2 '
Q 3 J" + 3 J" +
. " "
?2?? = < ?2?? 9 ?2??9A=> ?2 <W>
?2 99==B ?2???? ?2 >::? ?2???A
?2?A<AW ?2<B>A @ " " "
92>B ?= ?2???? 92W> ?= ?2??? ?2?AB>=B ?2?< ?2?A=W<W ?2?<AB
?29::B?: ?2???? ?29:WA9: ?2????
?2WAWA<A ?2???? ?2WW= W9 ?2????
D
"
200 400 600 800 0 0.05 0.1 0.15 0.2 GK0
200 400 600 800 0 0.05 0.1 0.15 0.2 GK1
200 400 600 800 0 0.05 0.1 0.15 0.2 GK2
200 400 600 800 0 0.05 0.1 0.15 0.2 GK3
200 400 600 800 0 0.05 0.1 0.15 0.2 GK3
200 400 600 800 0 0.05 0.1 0.15 0.2 GK5
200 400 600 800 0 0.05 0.1 0.15 0.2 GK6
200 400 600 800 0 0.05 0.1 0.15 0.2 Volatilidade realizada
! 2 + ,
200 400 600 800 0 0.05 0.1 0.15 0.2 GK0
200 400 600 800 0 0.05 0.1 0.15 0.2 GK1
200 400 600 800 0 0.05 0.1 0.15 0.2 GK2
200 400 600 800 0 0.05 0.1 0.15 0.2 GK3
200 400 600 800 0 0.05 0.1 0.15 0.2 GK4
200 400 600 800 0 0.05 0.1 0.15 0.2 GK5
200 400 600 800 0 0.05 0.1 0.15 0.2 GK6
200 400 600 800 0 0.05 0.1 0.15 0.2 Volatilidade realizada
9! + + 2 + 2 %# ',
200 400 600 800 0 0.05 0.1 0.15 0.2 GK0
200 400 600 800 0 0.05 0.1 0.15 0.2 GK1
200 400 600 800 0 0.05 0.1 0.15 0.2 GK2
200 400 600 800 0 0.05 0.1 0.15 0.2 GK3
200 400 600 800 0 0.05 0.1 0.15 0.2 GK4
200 400 600 800 0 0.05 0.1 0.15 0.2 GK5
200 400 600 800 0 0.05 0.1 0.15 0.2 GK6
200 400 600 800 0 0.05 0.1 0.15 0.2 Volatilidade realizada
:! + + 2 + 2 %#9',
200 400 600 800 0 0.05 0.1 0.15 0.2 GK0
200 400 600 800 0 0.05 0.1 0.15 0.2 GK1
200 400 600 800 0 0.05 0.1 0.15 0.2 GK2
200 400 600 800 0 0.05 0.1 0.15 0.2 GK3
200 400 600 800 0 0.05 0.1 0.15 0.2 GK4
200 400 600 800 0 0.05 0.1 0.15 0.2 GK5
200 400 600 800 0 0.05 0.1 0.15 0.2 GK6
200 400 600 800 0 0.05 0.1 0.15 0.2 Volatilidade realizada
<! + + 2 + 2 % # 2 ',
200 400 600 800 0
0.05 0.1 0.15 0.2
GK0
200 400 600 800 0
0.05 0.1 0.15 0.2
GK1
200 400 600 800 0
0.05 0.1 0.15 0.2
GK2
200 400 600 800 0
0.05 0.1 0.15 0.2
GK3
200 400 600 800 0
0.05 0.1 0.15 0.2
GK4
200 400 600 800 0
0.05 0.1 0.15 0.2
GK5
200 400 600 800 0
0.05 0.1 0.15 0.2
GK6
200 400 600 800 0
0.05 0.1 0.15 0.2
Volatilidade realizada
=! + + 2 + 2 % #929',
D
"
3 04
. 9 0
% X
%35#W' ?2 :<?W ?2?<>A:
%35 #W' ?2 9=W9 ?2?<B <
%35#:2:' ?2 9:B: ?2?<>W9 %35 #:2:' ?2 ?>B ?2?<A=A %35#92:' ?2?AW<: ?2?:BW %35 #92:' ?2?A<?B ?2?:B=? Q %35# 2 ' ?2?W ?> ?2?:>?> Q %35 # 2 ' ?2?W?>A ?2?:>?=
N? ?29><A ?2?A><
N ?2<AB9: ?2 ? >9
N9 ?2 B B ?2?9WB>
N: ?2:BB=> ?2?>=AB
N< ?2?AWWW ?2?999?
N= ?2?AB<? ?2?99 9
NA ?2:9WBW ?2?><?<
3 04
. 9 . $ (
!
+ % X
%35#W' ?2 =>>? ?2?==:=
%35 #W' ?2 =ABW ?2?=<AW
%35#92:' ?2 <<>? ?2?==<9 %35 #92:' ?2 <??> ?2?==<? %35#92:' ?2?AWW< ?2?<??< %35 #92:' ?2?AB99 ?2?<? A Q %35# 2 ' ?2?B =9 ?2?<9W> Q %35 # 2 ' ?2?B??B ?2?<9<W
3 04
. 9 . $ ( > ?
+ % X + % X
N? %# ' ?2 9>B? ?2?A??= N? % # 2 ' ?2 :W > ?2?==:<
N %# ' ?2 B< < ?2?>=?A N % # 2 ' ?2 >=>A ?2?>9 9 N9 %# ' ?2 ?<<W ?2?:W: N9 % # 2 ' ?2?>W ?2?:<?>
N: %# ' ?29BA:= ?2 :<9 N: % # 2 ' ?29W<W= ?2 <A
N< %# ' ?2?W=>< ?2?:9= N< % # 2 ' ?2?W ?B ?2?9>9=
N= %# ' ?2?WA A ?2?:9=? N= % # 2 ' ?2?W 9> ?2?9>:9
NA %# ' ?29 A<? ?2 ?B9> NA % # 2 ' ?29 >A ?2 ?A=:
N? %#9' ?2 =>>9 ?2?=><> N? % #929' ?2 AB B ?2?=>9
N %#9' ?29: A ?2?>=>A N % #929' ?29<9A9 ?2?>=??
N9 %#9' ?2 ?=<: ?2?:A : N9 % #929' ?2 ??? ?2?::<A
N: %#9' ?29> = ?2 <?: N: % #929' ?29B:W? ?2 ?>?=
N< %#9' ?2?W=<? ?2?: A: N< % #929' ?2?W ?? ?2?9BBB
N= %#9' ?2?W=A: ?2?: A< N= % #929' ?2?W 9W ?2?9B><
NA %#9' ?29 > B ?2 ?B9= NA % #929' ?29 >WA ?2 ?=>?
D
" 5
3 04
. 9 0 !
; @
;R *
;4+ " J >?T >=T >>T
%35#W' BA <= B
%35 #W' BA <= B
%35#:2:' B< <A =
%35 #:2:' B < W
%35#92:' W << <
%35 #92:' A< <? 9
Q %35# 2 ' W= <W :
Q %35 # 2 ' A< <9 :
% 1 <A WB A
+ " J `W92 ? a `: 2 =Aa `92 Wa
3 04
. 9 . $ ( > ?
@
;R * ;R *
;4+ " J >?T >=T >>T ;4+ " J >?T >=T >>T
N? %# ' A? 9W : N? % # 2 ' =B : :
N %# ' :< = W N % # 2 ' :W W B
N9 %# ' > =< 9 N9 % # 2 ' >: =? >
N: %# ' :? W A N: % # 2 ' 9> W <
N< %# ' ?B A: 9= N< % # 2 ' : A= 9=
N= %# ' ?B A: 9< N= % # 2 ' : A< 9=
NA %# ' 9> < = NA % # 2 ' 9> A 9
N? %#9' A :? < N? % #929' A: := <
N %#9' :A > ? N % #929' < > ?
N9 %#9' > =9 9? N9 % #929' >> =< 9:
N: %#9' 9> B = N: % #929' :9 W =
N< %#9' ?> A= 9: N< % #929' = A= 9B
N= %#9' ?> A= 9: N= % #929' = A= 9B
NA %#9' 9B A = NA % #929' :? B <
+ " J `W92 ? a `: 2 =Aa `92 Wa
3 04
0 ' @ .
& 7 M + /" 3
%35#W' B:2>WWW ?2???? ?2:<<A 2:A ?
%35 #W' BA2>9B: ?2???? ?2:= < 2:B:>
%35#:2:' >>2B::B ?2???? ?2: :> 2=<?<
%35 #:2:' :2?<?< ?2???? ?29AA 2ABB
%35#92:' B92<B>A ?2???? ?29: 9 2<:>=
%35 #92:' =2? : ?2???? ?29>:> 2AB=B
Q %35# 2 ' = 2 :W> ?2???? ?29?=? 2 WW
Q %35 # 2 ' ==2 W? ?2???? ?29 ?: 2 A9W
% 1 W2<:99 ?2?9<: ?2 9:B ?2:B?:
3 04
0 ' @ .
& 7 M + /" "
N? %# ' , ?B2<WA? ?2???? ?2??=A =2=<9=
N %# ' ,=?>2A=>B ?2???? ?2 =? A2<A<
N9 %# ' ,??92 9W< ?2???? ?2?B B =29AW<
N: %# ' >> 2> = ?2???? ?2?B=W =29<?9
N< %# ' ,<?92> B> ?2???? ?2?::B A29:=?
N= %# ' ,:WB2><?A ?2???? ?2?9=B A2 B A
NA %# ' ,9 W2AA>< ?2???? ?2?:9 =2B?BB
N? %#9' ,::<29=== ?2???? ?29 ?> A2?AA9
N %#9' ,==?2WWAA ?2???? ?2 9 A A2== 9
N9 %#9' WAA2A: < ?2???? ?2??AB <2A?>:
N: %#9' W=W2<ABA ?2???? ?2??>B <2=B A
N< %#9' ,? W2:9=9 ?2???? ?2 =A< =2:??=
N= %#9' >>>29<AA ?2???? ?2 <WB =29=<
NA %#9' B><2=B ? ?2???? ?2?WAW <2>WAB
N? % # 2 ' W?:2AW:> ?2???? ?2?:=A <2< ==
N % # 2 ' ,? >2B?W< ?2???? ?2 9=9 =2: ?:
N9 % # 2 ' A 92A?WW ?2???? ?2?WB? <2 W<
N: % # 2 ' A?<29 :: ?2???? ?2?W=< <2?B>9
N< % # 2 ' BWB2WW:W ?2???? ?29WBB <2>?::
N= % # 2 ' B=W2WAB> ?2???? ?29W < <2B<=:
NA % # 2 ' W9 2>9A= ?2???? ?29?=A <2<=<?
N? % #929' ,9<A2><AA ?2???? ?29??W =2BA<B
N % #929' ,99>2=B9> ?2???? ?2?9= =2B:W9
N9 % #929' =?>2=>9: ?2???? ?2?><B :2W=:9
N: % #929' =?<2: W< ?2???? ?2?>?W :2W:<
N< % #929' B:92 :<< ?2???? ?29A9? <2WW:=
N= % #929' B 92?<>< ?2???? ?29=:B <2W AA
NA % #929' AWW2=B=< ?2???? ?2 B9B <2: W>
3 04 #
. 9 0 !
@ 0 . '
;R *
;4+ " J >?T >=T >>T
%35#W' ?A <= W
%35 #W' ?A << W
%35#:2:' ?? =: ?
%35 #:2:' >B == ?
%35#92:' B> <: >
%35 #92:' B< << >
Q %35# 2 ' B> <B W
Q %35 # 2 ' BB <W B
+ " J `W92 ? a `: 2 =Aa `92 Wa
3 04 %
. 9 . $ ( > ?
@ 0 . '
;R * ;R *
;4+ " J >?T >=T >>T ;4+ " J >?T >=T >>T
N? %# ' AW <B N? % # 2 ' W: <W
N %# ' AB <A > N % # 2 ' WA << B
N9 %# ' B= A9 =? N9 % # 2 ' BB AA <>
N: %# ' B= A9 =? N: % # 2 ' BB AA <>
N< %# ' W< :> 9 N< % # 2 ' W= :B :
N= %# ' W: :> < N= % # 2 ' W= :B <
NA %# ' WW <> 99 NA % # 2 ' WB <A 99
N? %#9' WW <> : N? % #929' B <> <
N %#9' W9 <W N % #929' B? <W
N9 %#9' BA A: <> N9 % #929' >W W? =9
N: %#9' BA A: <> N: % #929' >W W? =9
N< %#9' W: :< < N< % #929' WB <? <
N= %#9' W9 :> A N= % #929' W> < A
NA %#9' WB <W 99 NA % #929' B <B 9W
+ " J `W92 ? a `: 2 =Aa `92 Wa
D
"
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - ARCH(7) - IC 90%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - ARCH-M(7) - IC 90%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GARCH(2,3) - IC 90%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GARCH-M(2,3) - IC 90%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - EGARCH(2,3) - IC 90%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - EGARCH-M(2,3) - IC 90%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - TARCH(1,1) - IC 90%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - TARCH-M(1,1) - IC 90%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - Volatilidade realizada - IC 90%
! % %35 3 >?T,
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - ARCH(7) - IC 95%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - ARCH-M(7) - IC 95%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GARCH(2,3) - IC 95%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GARCH-M(2,3) - IC 95%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - EGARCH(2,3) - IC 95%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - EGARCH-M(2,3) - IC 95%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - TARCH(1,1) - IC 95%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - TARCH-M(1,1) - IC 95%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - Volatilidade realizada - IC 95%
9! % %35 3 >=T,
200 400 600 800 -0.2 -0.15 -0.1 -0.05 0
VaR - ARCH(7) - IC 99%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - ARCH-M(7) - IC 99%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GARCH(2,3) - IC 99%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GARCH-M(2,3) - IC 99%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - EGARCH(2,3) - IC 99%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - EGARCH-M(2,3) - IC 99%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - TARCH(1,1) - IC 99%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - TARCH-M(1,1) - IC 99%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - Volatilidade realizada - IC 99%
:! % %35 >>T,
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK0
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK1
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK2
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK3
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK4
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK5
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK6
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - Volatilidade realizada
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - Volatilidade realizada - IC 95%
<! % N %# ' 3 >?T,
200 400 600 800 -0.2 -0.15 -0.1 -0.05 0
VaR - GK0
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK1
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK2
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK3
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK4
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK5
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK6
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - Volatilidade realizada
=! % N %#9' 3 >?T,
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK0
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK1
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK2
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK3
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK4
200 400 600 800 -0.2 -0.15 -0.1 -0.05 0 GK5
200 400 600 800 -0.2 -0.15 -0.1 -0.05 0 GK6
200 400 600 800 -0.2 -0.15 -0.1 -0.05 0 Volatilidade realizada
A! % N % # 2 ' 3 >?T,
200 400 600 800 -0.2 -0.15 -0.1 -0.05 0
VaR - GK0
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK1
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK2
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK3
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK4
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK5
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK6
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - Volatilidade realizada
W! % N % #929' 3 >?T,
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK0 - IC 95%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK1 - IC 95%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK2 - IC 95%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK3 - IC 95%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK4 - IC 95%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK5 - IC 95%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK6 - IC 95%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - Volatilidade realizada - IC 95%
B! % N %# ' 3 >=T
200 400 600 800 -0.2 -0.15 -0.1 -0.05 0
VaR - GK0 - IC 95%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK1 - IC 95%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK2 - IC 95%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK3 - IC 95%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK4 - IC 95%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK5 - IC 95%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK6 - IC 95%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - Volatilidade realizada - IC 95%
>! % N %#9' 3 >=T,
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK0 - IC 95%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK1 - IC 95%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK2 - IC 95%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK3 - IC 95%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK4 - IC 95%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
GK5 - IC 95%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
GK6 - IC 95%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
Volatilidade realizada - IC 95%
?! % N % # 2 ' 3 >=T,
200 400 600 800 -0.2 -0.15 -0.1 -0.05 0
VaR - GK0 - IC 95%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK1 - IC 95%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK2 - IC 95%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK3 - IC 95%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK4 - IC 95%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK5 - IC 95%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK6 - IC 95%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - Volatilidade realizada - IC 95%
! % N % #929' 3 >=T,
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK0 - IC 99%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK1 - IC 99%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK2 - IC 99%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK3 - IC 99%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK4 - IC 99%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK5 - IC 99%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK6 - IC 99%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - Volatilidade realizada - IC 99%
9! % N %# ' 3 >>T,
200 400 600 800 -0.2 -0.15 -0.1 -0.05 0
VaR - GK0 - IC 99%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK1 - IC 99%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK2 - IC 99%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK3 - IC 99%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK4 - IC 99%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK5 - IC 99%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK6 - IC 99%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - Volatilidade realizada - IC 99%
:! % N %#9' 3 >>T,
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK0 - IC 99%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK1 - IC 99%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK2 - IC 99%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK3 - IC 99%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK4 - IC 99%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
GK5 - IC 99%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
GK6 - IC 99%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
Volatilidade realizada - IC 99%
<! % N % # 2 ' 3 >>T,
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK0 - IC 99%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK1 - IC 99%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK2 - IC 99%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK3 - IC 99%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK4 - IC 99%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK5 - IC 99%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - GK6 - IC 99%
200 400 600 800 -0.2
-0.15 -0.1 -0.05 0
VaR - Volatilidade realizada - IC 99%
=! % N % #929' 3 >>T,
D
" &
0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1
0 1 2 3 4 5x 10
-3 RMSE x a
a
R
M
S
E
0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1
2 4 6 8 10 12 14x 10
-4 AME x a
a
A
M
E
! % % X 2 * N:,
0.4 0.6 0.8 -0.1 -0.05 0 0.5 1 1.5
x 10-3
a1 a2 R M S E 0.45 0.5 0.55 0.6 0.65 -0.06 -0.04 -0.02 0 0.5 1 1.5
x 10-3
a1 a2 R M S E 0.4 0.6 0.8 -0.1 -0.05 0 0.5 1 1.5
x 10-3
a2 a1 R M S E 0.45 0.5 0.55 0.6 0.65
-0.06 -0.04 -0.02 0
a2
a
1
9! % . /0 * + 6 N<
0.4 0.6 0.8 -0.1 -0.05 0 2 2.5 3 3.5
x 10-4
a1 a2 A M E 0.45 0.5 0.55 0.6 0.65 -0.06 -0.04 -0.02 0 2 4 x 10-4
a1 a2 A M E 0.4 0.6 0.8 -0.1 -0.05 0 2 2.5 3 3.5
x 10-4
a2 a1 A M E 0.45 0.5 0.55 0.6 0.65
-0.06 -0.04 -0.02 0
a2
a
1
:! % 2 * N<,
0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1
3 3.5 4 4.5
5x 10
-3 RMSE x a
a
R
M
S
E
0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1
8.5 9 9.5 10 10.5x 10
-4 AME x a
a
A
M
E
<! % % X 2 * NA,
