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

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  • Freitas, Clailton Ataídes de
  • Sáfadi, Thelma

Abstract

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.

Suggested Citation

  • Freitas, Clailton Ataídes de & Sáfadi, Thelma, 2015. "Volatilidade dos Retornos de Commodities Agropecuárias Brasileiras: um teste utilizando o modelo APARCH," Brazilian Journal of Rural Economy and Sociology (Revista de Economia e Sociologia Rural-RESR), Sociedade Brasileira de Economia e Sociologia Rural, vol. 53(2), pages 1-18, June.
    • Handle: RePEc:ags:rdecag:212577
    DOI: 10.22004/ag.econ.212577
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    Cited by:

    1. Capitani, Daniel Henrique Dario & Mattos, Fabio, 2017. "Measurement of Commodity Price Risk: an overview of Brazilian agricultural markets," Revista de Economia e Sociologia Rural (RESR), Sociedade Brasileira de Economia e Sociologia Rural, vol. 55(3), January.

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    Agribusiness;

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