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Revista de Economia e Sociologia Rural

Print version ISSN 0103-2003On-line version ISSN 1806-9479

Abstract

SILVA, Washington Santos da; SAFADI, Thelma  and  CASTRO JUNIOR, Luiz Gonzaga de. Uma análise empírica da volatilidade do retorno de commodities agrícolas utilizando modelos ARCH: os casos do café e da soja. Rev. Econ. Sociol. Rural [online]. 2005, vol.43, n.1, pp.119-134. ISSN 0103-2003.  https://doi.org/10.1590/S0103-20032005000100007.

We examined the volatility process of the returns of two important Brazilian agricultural commodities, coffee and soy, using ARCH class models. 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.

Keywords : ARCH models; Brazilian agricultural commodities; volatility.

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