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Risco no mercado de arroz em casca

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  • Adami, Andreia Cristina de Oliveira
  • Barros, Geraldo Sant'Ana de Camargo

Abstract

O presente trabalho avaliou as características das séries de retornos, normalmente encontradas em séries financeiras, para dados do mercado de arroz em casca ao produtor do Rio Grande do Sul. Um modelo da classe GARCH (1,1) tipo VaR foi utilizado para obter previsões da variância condicional e verificar o risco incorrido pelas posições comprada e vendida no mercado de arroz em casca. Foram realizadas previsões fora da amostra do tipo VaR para o risco de mercado para um mês à frente (um passo a frente). A taxa de falha calculada foi de 6,45% - número de vezes que o valor observado excedeu o valor esperado – pois, o modelo falhou em 2 das 31 previsões obtidas, sendo que, uma das 31 previsões excedeu os menores valores previstos e 1 excedeu os maiores valores previstos. Assim, se o agente de comercialização encontrava-se em posição comprada o risco medido foi de 3,22% mas, se esteve vendido no mercado o risco medido também foi de 3,22%. This study examined the characteristics of the series of returns, usually found in financial time series, for the paddy market in Rio Grande do Sul. The framework used was GARCH(1,1) VaR models to predict conditional variance and measure risk for long and short positions. Forecasts out of the sample of the type VaR were made for the risk of the market for one month ahead (a step forward). The estimated failure rate was 6.22% - number of times the observed value exceeded expected value - therefore, the model failed in 2 of the 31 forecasts obtained, and, of the 31 forecasts only one exceeded minors predicted values and 1 exceeded the highest forecasts. So if the marketing agent was in long or short position the risk measured was 3.22%.

Suggested Citation

  • Adami, Andreia Cristina de Oliveira & Barros, Geraldo Sant'Ana de Camargo, 2008. "Risco no mercado de arroz em casca," 46th Congress, July 20-23, 2008, Rio Branco, Acre, Brazil 103101, Sociedade Brasileira de Economia, Administracao e Sociologia Rural (SOBER).
  • Handle: RePEc:ags:sbrfsr:103101
    DOI: 10.22004/ag.econ.103101
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    Keywords

    Crop Production/Industries; Marketing;

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