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

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.

Issue Date:
Mar 30 2005
Publication Type:
Journal Article
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Published in:
Brazilian Journal of Rural Economy and Sociology (Revista de Economia e Sociologia Rural-RESR), Volume 43, Number 1
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JEL Codes:
C22; E32; Q11; Q14
Series Statement:
Volume 43
Number 01

 Record created 2017-04-01, last modified 2018-01-22

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