Algumas evidências da presença de não-linearidades compatíveis com caos determinístico no IBOVESPA na década de 1990

Abstract

The purpose of the paper is to look for indications of chaotic dynamics in the monthly evolution of IBOVESPA in the period 1978/2000. This kind of dynamics, as it is known, implicates that the series will present high sensibility to variations in initial conditions, but not a random behavior. The techniques employed were the recurrence plot followed by successive filtering of the residuals by ARCH's type autoregressive models, capable to model the conditional heterocedasticity; the final step was to test the residuals against BDS statistics. The conclusion obtained after filtering the series was the identification of evidences of chaotic dynamics in the evolution of IBOVESPA during the 1990's.