Before revision:  This is done for years of both low and high volatility of the Brazilian  market, from 2004 to 2010. 
After revision:  This is done for years of both low and high volatility of the Brazilian market, from 2004 to 2010. The results show that the use of regression to subtract the market effect on returns greatly increases the accuracy of the prediction of risk, and that, although the cleaning of the correlation matrix often leads to portfolios that better predict risks, in periods of high volatility of the market this procedure may fail to do so.