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