High density polyethylene and high density polyethylene-clay nanocomposites were produced using direct solvent polymerization and a Ziegler catalyst system (TiCl4 and triethylaluminum in hexane). The produced polymer has a high average molecular weight and a multimodal molecular weight distribution composed of four distributions including a very high molecular weight component. The laboratory polymer has a thermal stability in inert atmosphere similar to the commercial high density polyethylene produced by Braskem. In oxidant atmosphere the produced polymer presents three thermal oxidation events above 400ºC due to the combustion of low, medium and high molecular weight molecules. The thermal oxidation of the nanocomposites is shifted and reduced for high temperatures indicating an improvement in the thermal stability of the polymeric matrix due to the clay barrier effect for gases and volatile compounds.