Uma análise empírica da volatilidade do retorno de commodities agrícolas utilizando modelos ARCH: os casos do café e da soja Reportar como inadecuado




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We examine the volatility process of the returns of two importantbrazilian agricultural commodities, the coffee and soy, using models ofthe ARCH class. The empirical results suggest strong signs of persistenceand asymmetry in the volatility of both series. Furthermore, the resultssuggest that the design of policies that create, facilitate the access andstimulate the use of market-based hedging devices can be proper strategiesfor such sectors in view of the persistence of shocks and the pronouncedvolatility found for the returns of these commodities.

Keywords: ARCH models ; brazilian agricultural commodities ; volatility.

Subject(s): Agribusiness

Issue Date: Mar 30 2005

Publication Type: Journal Article

PURL Identifier: http://purl.umn.edu/156123 Published in: Brazilian Journal of Rural Economy and Sociology (Revista de Economia e Sociologia Rural-RESR), Volume 43, Number 1 Page range: 119-134

Total Pages: 16

JEL Codes: C22; E32; Q11; Q14

Series Statement: Volume 43

Number 01

Record appears in: Sociedade Brasileira de Economia, Administracao e Sociologia Rural (SOBER) > Brazilian Journal of Rural Economy and Sociology (Revista de Economia e Sociologia Rural-RESR)





Autor: Silva, Washington Santos da ; Sáfadi, Thelma ; Castro Junior, Luiz Gonzaga de

Fuente: http://ageconsearch.umn.edu/record/156123?ln=en







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