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Revista de Economia e Sociologia Rural

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

Abstract

FREITAS, Clailton Ataídes de  and  SAFADI, Thelma. Volatilidade dos Retornos de Commodities Agropecuárias Brasileiras: um teste utilizando o modelo APARCH. Rev. Econ. Sociol. Rural [online]. 2015, vol.53, n.2, pp.211-228. ISSN 0103-2003.  https://doi.org/10.1590/1234-56781806-9479005302002.

This research analyzed (2005-2013) persistence, leverage and unconditional variance Agricultural-commodities4 return. Therefore, we resorted to APARCH model. Estimates pointed out that leverage was not confirmed in these series; conditional variance was asymmetric in ethanol, coffee, cotton, cattle and calf's return; the most intense volatilities, although converging to its historical averages, happened to sugar, soybean, coffee, wheat, poultry and cattle; the largest unconditional volatilities were on ethanol, poultry, cotton, soybean and sugar returns.

Keywords : Leverage effect; ARCH model; Agriculture series; Asymmetric power..

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