Data Inicial

Data Final
lambda vol.
lambda beta

7/19/2007
7/30/2008
0.9400
1.0000

Fechamento
IBOV
ALLL11
AMBV4
CSAN3
ARCZ6
BBAS3
BBDC4
BRAP4
BRKM5
BRTO4
BRTP3
BRTP4
CCRO3
CESP6
CGAS5
CLSC6
CYRE3
CMIG4
CPLE6
CRUZ3
CSNA3
GOLL4
LAME4
NATU3
ELET3
ELET6
ELPL6
EMBR3
GGBR4
GOAU4
ITAU4
ITSA4
KLBN4
LIGT3
NETC4
PETR3
PETR4
PRGA3
TAMM4
SBSP3
SDIA4
TCSL3
TCSL4
TLPP4
TMAR5
TMCP4
TNLP3
TNLP4
TRPL4
UBBR11
USIM5
VALE3
VALE5
VCPA4
VIVO4

59997.00
20.61
92.49
31.22
10.76
25.28
33.45
36.30
13.80
18.43
50.75
24.29
32.20
29.38
45.99
48.00
23.20
37.19
31.69
46.00
63.40
16.63
11.70
17.87
30.18
26.30
37.49
12.28
34.30
47.10
33.40
10.28
5.27
25.55
19.24
44.61
36.50
42.91
32.60
39.01
11.51
5.45
4.18
45.09
90.80
45.60
40.50
36.23
52.75
21.22
70.80
48.10
41.61
37.41
8.84

Retorno
Mdio
Dirio
0.02%
-0.13%
-1.08%
-0.04%
-0.06%
-0.07%
-0.18%
-0.33%
-0.11%
0.02%
0.02%
-0.05%
-0.05%
-0.08%
-0.91%
0.08%
0.01%
-0.04%
-0.02%
-0.02%
-0.20%
-0.45%
-0.16%
-0.13%
-0.23%
-0.28%
-0.46%
-0.24%
-0.16%
-0.14%
-0.40%
-0.09%
-0.11%
-0.08%
-0.21%
-0.15%
-0.17%
0.06%
-0.20%
-0.07%
0.07%
-0.27%
-0.20%
-0.16%
0.18%
0.87%
-0.23%
-0.03%
0.12%
-0.05%
-0.04%
-0.27%
-0.27%
-0.10%
0.00%

Desvio
Padro
Dirio
4.23%
3.90%
15.02%
4.33%
5.33%
4.91%
5.21%
6.71%
3.09%
4.73%
2.58%
4.06%
3.89%
3.69%
14.56%
2.37%
5.95%
2.74%
2.62%
5.35%
9.27%
8.54%
5.56%
3.93%
6.70%
5.35%
9.33%
7.05%
18.60%
18.38%
11.97%
4.13%
4.49%
61.80%
5.90%
6.52%
7.41%
5.65%
4.49%
4.08%
5.52%
5.41%
4.86%
2.72%
2.88%
14.43%
4.72%
3.54%
3.29%
4.97%
5.39%
10.15%
9.75%
5.65%
5.27%

Retorno
Ajustado
Dirio
0.41%
-3.34%
-7.21%
-1.03%
-1.18%
-1.36%
-3.47%
-4.95%
-3.53%
0.46%
0.60%
-1.33%
-1.39%
-2.16%
-6.24%
3.25%
0.22%
-1.38%
-0.81%
-0.39%
-2.17%
-5.21%
-2.80%
-3.36%
-3.42%
-5.17%
-4.88%
-3.39%
-0.87%
-0.76%
-3.38%
-2.16%
-2.46%
-0.12%
-3.62%
-2.28%
-2.36%
1.07%
-4.51%
-1.73%
1.27%
-4.93%
-4.05%
-5.98%
6.11%
6.04%
-4.97%
-0.83%
3.66%
-0.92%
-0.80%
-2.67%
-2.74%
-1.81%
-0.09%

Volatilidade
(DP)
anual
67.09%
61.91%
238.38%
68.72%
84.64%
77.98%
82.75%
106.52%
49.11%
75.08%
40.99%
64.40%
61.79%
58.50%
231.08%
37.63%
94.42%
43.50%
41.52%
84.95%
147.13%
135.51%
88.33%
62.41%
106.39%
84.90%
148.17%
111.96%
295.32%
291.79%
189.99%
65.61%
71.21%
981.04%
93.63%
103.47%
117.55%
89.76%
71.33%
64.84%
87.56%
85.91%
77.14%
43.10%
45.65%
229.00%
74.93%
56.15%
52.20%
78.91%
85.57%
161.18%
154.84%
89.77%
83.66%

Volatilidade
(EWMA)
anual
128.30%
109.70%
123.68%
109.22%
171.96%
150.46%
143.65%
187.02%
68.73%
130.37%
29.96%
105.47%
67.35%
59.20%
33.20%
33.14%
182.80%
47.21%
57.43%
144.92%
187.50%
320.20%
154.18%
97.75%
88.58%
56.98%
60.04%
227.17%
612.73%
600.68%
312.83%
112.77%
138.04%
95.49%
154.79%
146.18%
156.45%
176.27%
134.44%
108.85%
165.79%
148.11%
128.86%
56.63%
64.47%
48.86%
138.32%
90.14%
70.05%
155.33%
158.36%
191.78%
171.86%
187.26%
149.81%

Volatilidade
EWMA/DP

Beta

Obs.

1.9124
1.7719
0.5189
1.5893
2.0315
1.9295
1.7360
1.7557
1.3995
1.7364
0.7310
1.6376
1.0900
1.0118
0.1437
0.8808
1.9361
1.0853
1.3831
1.7059
1.2744
2.3629
1.7456
1.5661
0.8326
0.6712
0.4052
2.0290
2.0748
2.0586
1.6465
1.7188
1.9384
0.0973
1.6532
1.4128
1.3308
1.9638
1.8848
1.6788
1.8935
1.7241
1.6705
1.3138
1.4123
0.2134
1.8460
1.6054
1.3419
1.9685
1.8507
1.1898
1.1099
2.0861
1.7906

1.0000
0.6046
0.7051
(0.1619)
0.9902
0.9740
0.9979
0.9825
0.3411
0.8005
0.2145
0.6104
0.0690
0.2238
0.2336
0.0603
0.9285
0.1877
(0.0178)
0.8739
1.2074
1.3987
0.9042
0.5367
(0.0748)
0.1552
0.1325
1.1717
2.5365
3.0327
1.3886
0.8017
0.7051
0.1483
0.9783
0.8865
0.9572
0.8914
0.6520
0.5942
0.8301
0.8418
0.8452
0.3119
0.2927
0.0344
0.6550
0.4464
(0.0314)
0.8119
0.6708
0.8091
0.7537
0.9873
0.6755

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