Resumo

RIASCOS, Julio C.. THE ACCUMULATED FINANCIAL RISK FOR S&P 500, NASDAQ AND DOW JONES INDUSTRIAL. UNITED STATES, 2000-2014: AN INTRODUCTION TO THE USE OF GARCH MODELS IN APPLIED. Tend. [online]. 2014, vol.15, n.1, pp.78-108. ISSN 0124-8693.  https://doi.org/10.22267/rtend.141501.51.

This paper analyzes the accumulated financial risk for the major U.S. stock markets, S&P 500, Nasdaq and Dow Jones Industrial between February 24, 2000 and February 17, 2014. The method is supported for GARCH models that explain market returns and variance equation with errors and lagged variances. The study shows that the markets returns are affected by the terrorist attack on the World Trade Center on September 11, 2001 and the fall of Lehman Brothers on September 15, 2008. The research concludes that index returns of S&P 500 and Nasdaq tend to stabilize, while the risk persists in the Dow Jones Industrial market.

JEL: C50, G14, G15, E52.

Palavras-chave : Financial risk; Generalized AutoRegressive Conditional Heteroskedasticity (GARCH)..

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