Conditional Volatility in the Brazilian Mutual Funds

Alessandro de Castro Corrêa, Carlos Machado-Santos


This study intends to investigate the (dynamic) behavior of mutual fund managers regarding the variability of the conditional market
volatility (analyzed with the support of EGARCH models) in the Brazilian market. The results seem to reveal that managers are able to
implement strategies that allow them to respond efficiently to increases of market volatility, by adjusting their exposure to systematic risk.

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