Data Inicial 7/19/2007

Data Final 7/30/2008

lambda vol. 0.9400
lambda beta 1.0000

Retorno Desvio Retorno Volatilidade Volatilidade Volatilidade

Fechamento Médio Padrão Ajustado (DP) (EWMA) EWMA/DP Beta Obs.
Diário Diário Diário anual anual
IBOV 59997.00 0.02% 4.23% 0.41% 67.09% 128.30% 1.9124 1.0000 251
ALLL11 20.61 -0.13% 3.90% -3.34% 61.91% 109.70% 1.7719 0.6046 251
AMBV4 92.49 -1.08% 15.02% -7.21% 238.38% 123.68% 0.5189 0.7051 251
CSAN3 31.22 -0.04% 4.33% -1.03% 68.72% 109.22% 1.5893 (0.1619) 251
ARCZ6 10.76 -0.06% 5.33% -1.18% 84.64% 171.96% 2.0315 0.9902 251
BBAS3 25.28 -0.07% 4.91% -1.36% 77.98% 150.46% 1.9295 0.9740 251
BBDC4 33.45 -0.18% 5.21% -3.47% 82.75% 143.65% 1.7360 0.9979 251
BRAP4 36.30 -0.33% 6.71% -4.95% 106.52% 187.02% 1.7557 0.9825 251
BRKM5 13.80 -0.11% 3.09% -3.53% 49.11% 68.73% 1.3995 0.3411 251
BRTO4 18.43 0.02% 4.73% 0.46% 75.08% 130.37% 1.7364 0.8005 251
BRTP3 50.75 0.02% 2.58% 0.60% 40.99% 29.96% 0.7310 0.2145 251
BRTP4 24.29 -0.05% 4.06% -1.33% 64.40% 105.47% 1.6376 0.6104 251
CCRO3 32.20 -0.05% 3.89% -1.39% 61.79% 67.35% 1.0900 0.0690 251
CESP6 29.38 -0.08% 3.69% -2.16% 58.50% 59.20% 1.0118 0.2238 251
CGAS5 45.99 -0.91% 14.56% -6.24% 231.08% 33.20% 0.1437 0.2336 251
CLSC6 48.00 0.08% 2.37% 3.25% 37.63% 33.14% 0.8808 0.0603 251
CYRE3 23.20 0.01% 5.95% 0.22% 94.42% 182.80% 1.9361 0.9285 251
CMIG4 37.19 -0.04% 2.74% -1.38% 43.50% 47.21% 1.0853 0.1877 251
CPLE6 31.69 -0.02% 2.62% -0.81% 41.52% 57.43% 1.3831 (0.0178) 251
CRUZ3 46.00 -0.02% 5.35% -0.39% 84.95% 144.92% 1.7059 0.8739 251
CSNA3 63.40 -0.20% 9.27% -2.17% 147.13% 187.50% 1.2744 1.2074 251
GOLL4 16.63 -0.45% 8.54% -5.21% 135.51% 320.20% 2.3629 1.3987 251
LAME4 11.70 -0.16% 5.56% -2.80% 88.33% 154.18% 1.7456 0.9042 251
NATU3 17.87 -0.13% 3.93% -3.36% 62.41% 97.75% 1.5661 0.5367 251
ELET3 30.18 -0.23% 6.70% -3.42% 106.39% 88.58% 0.8326 (0.0748) 251
ELET6 26.30 -0.28% 5.35% -5.17% 84.90% 56.98% 0.6712 0.1552 251
ELPL6 37.49 -0.46% 9.33% -4.88% 148.17% 60.04% 0.4052 0.1325 251
EMBR3 12.28 -0.24% 7.05% -3.39% 111.96% 227.17% 2.0290 1.1717 251
GGBR4 34.30 -0.16% 18.60% -0.87% 295.32% 612.73% 2.0748 2.5365 251
GOAU4 47.10 -0.14% 18.38% -0.76% 291.79% 600.68% 2.0586 3.0327 251
ITAU4 33.40 -0.40% 11.97% -3.38% 189.99% 312.83% 1.6465 1.3886 251
ITSA4 10.28 -0.09% 4.13% -2.16% 65.61% 112.77% 1.7188 0.8017 251
KLBN4 5.27 -0.11% 4.49% -2.46% 71.21% 138.04% 1.9384 0.7051 251
LIGT3 25.55 -0.08% 61.80% -0.12% 981.04% 95.49% 0.0973 0.1483 251
NETC4 19.24 -0.21% 5.90% -3.62% 93.63% 154.79% 1.6532 0.9783 251
PETR3 44.61 -0.15% 6.52% -2.28% 103.47% 146.18% 1.4128 0.8865 251
PETR4 36.50 -0.17% 7.41% -2.36% 117.55% 156.45% 1.3308 0.9572 251
PRGA3 42.91 0.06% 5.65% 1.07% 89.76% 176.27% 1.9638 0.8914 251
TAMM4 32.60 -0.20% 4.49% -4.51% 71.33% 134.44% 1.8848 0.6520 251
SBSP3 39.01 -0.07% 4.08% -1.73% 64.84% 108.85% 1.6788 0.5942 251
SDIA4 11.51 0.07% 5.52% 1.27% 87.56% 165.79% 1.8935 0.8301 251
TCSL3 5.45 -0.27% 5.41% -4.93% 85.91% 148.11% 1.7241 0.8418 251
TCSL4 4.18 -0.20% 4.86% -4.05% 77.14% 128.86% 1.6705 0.8452 251
TLPP4 45.09 -0.16% 2.72% -5.98% 43.10% 56.63% 1.3138 0.3119 251
TMAR5 90.80 0.18% 2.88% 6.11% 45.65% 64.47% 1.4123 0.2927 251
TMCP4 45.60 0.87% 14.43% 6.04% 229.00% 48.86% 0.2134 0.0344 251
TNLP3 40.50 -0.23% 4.72% -4.97% 74.93% 138.32% 1.8460 0.6550 251
TNLP4 36.23 -0.03% 3.54% -0.83% 56.15% 90.14% 1.6054 0.4464 251
TRPL4 52.75 0.12% 3.29% 3.66% 52.20% 70.05% 1.3419 (0.0314) 251
UBBR11 21.22 -0.05% 4.97% -0.92% 78.91% 155.33% 1.9685 0.8119 251
USIM5 70.80 -0.04% 5.39% -0.80% 85.57% 158.36% 1.8507 0.6708 251
VALE3 48.10 -0.27% 10.15% -2.67% 161.18% 191.78% 1.1898 0.8091 251
VALE5 41.61 -0.27% 9.75% -2.74% 154.84% 171.86% 1.1099 0.7537 251
VCPA4 37.41 -0.10% 5.65% -1.81% 89.77% 187.26% 2.0861 0.9873 251
VIVO4 8.84 0.00% 5.27% -0.09% 83.66% 149.81% 1.7906 0.6755 251