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

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  • Silva, Washington Santos da
  • Sáfadi, Thelma
  • Castro Junior, Luiz Gonzaga de

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.

Suggested Citation

  • Silva, Washington Santos da & Sáfadi, Thelma & Castro Junior, Luiz Gonzaga de, 2005. "Uma análise empírica da volatilidade do retorno de commodities agrícolas utilizando modelos ARCH: os casos do café e da soja," Brazilian Journal of Rural Economy and Sociology (Revista de Economia e Sociologia Rural-RESR), Sociedade Brasileira de Economia e Sociologia Rural, vol. 43(1), pages 1-16, March.
    • Handle: RePEc:ags:rdecag:156123
    DOI: 10.22004/ag.econ.156123
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    Agribusiness;

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