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Artigo • Rev. Econ. Sociol. Rural 53 (02) • June 2015 • https://doi.org/10.1590/1234-56781806-9479005302002   copy

Volatilidade dos Retornos de Commodities Agropecuárias Brasileiras: um teste utilizando o modelo APARCH

Authorship SCIMAGO INSTITUTIONS RANKINGS

Abstract:

This research analyzed (2005-2013) persistence, leverage and unconditional variance Agricultural-commodities 4 4 Researched series were: sugar, soybean, maize, coffee, cotton, rice, wheat, poultry, cattle and calf. The information source is the price series from CEPEA/ESALQ available at: http://www.cepea.esalq.usp.br. Access: 04/26/2013. 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.

Key-words:
Leverage effect; ARCH model; Agriculture series; Asymmetric power.

Sociedade Brasileira de Economia e Sociologia Rural Av. W/3 Norte, Quadra 702 Ed. Brasília Rádio Center Salas 1049-1050, 70719 900 Brasília DF Brasil, - Brasília - DF - Brazil
E-mail: sober@sober.org.br
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