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Previsão Dos Preços Do Açúcar E Análise Da Sua Volatilidade No Mercado Futuro Brasileiro (2003 A 2007): Uma Aplicação De Modelos Da Família Arch

Author

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  • Nicola, Danieli Scalcon
  • Freitas, Clailton Ataides
  • Paz, Marlon Vidal

Abstract

Este trabalho objetiva mensurar a volatilidade dos preços futuros do açúcar negociados na BM&F, bem como verificar quais entre os modelos univariados propostos apresenta melhor desempenho preditivo para o preço da commodity em questão. Para tanto se utilizam modelos de análise de volatilidade do tipo ARCH e modelos univariados de previsão aplicados a séries temporais, entre os quais os modelos ARIMA e SARIMA. Os resultados empíricos sugerem não haver presença de assimetria entre choques positivos e negativos e indicam a persistência na volatilidade dos preços do açúcar, implicando que os choques de volatilidade se dissiparão lentamente ao longo do tempo, podendo gerar perdas econômicas. Quanto aos modelos de previsão, o modelo ARIMA apresentou os menores valores para os critérios Akaike e Schwarz e para a soma dos quadrados dos resíduos. Porém o modelo SARIMA apresentou melhor ajuste teórico à série de preços do açúcar, bem como para o erro quadrado médio de previsão (EQM) ex-post.-------------------------------------The aim of this work is to measure the volatility of sugar prices negotiated in BM&F, as well as to verify which among the univariate models proposed presents a better predictive performance regarding the price of the referred commodity. To do this it is used ARCH models of volatility analysis and univariate prevision models applied to temporal series, among them the ARIMA and SARIMA models. The empirical results suggest there is no asymmetry between positive and negative impacts and indicate the persistence of volatility of sugar prices, resulting that the volatility impacts will dissipate slowly along the time, with the possibility of generating economical losses. As regards the Prevision Models, the ARIMA model presented the lowest values to the criteria Akaike and Schwarz and to the sum-of-squares of residues. However, the SARIMA Model presented better theoretical adjustment to the series of sugar prices, as well as to the Prediction Mean Square Error (EQM) ex-post.

Suggested Citation

  • Nicola, Danieli Scalcon & Freitas, Clailton Ataides & Paz, Marlon Vidal, 2008. "Previsão Dos Preços Do Açúcar E Análise Da Sua Volatilidade No Mercado Futuro Brasileiro (2003 A 2007): Uma Aplicação De Modelos Da Família Arch," 46th Congress, July 20-23, 2008, Rio Branco, Acre, Brasil 108829, Sociedade Brasileira de Economia, Administracao e Sociologia Rural (SOBER).
  • Handle: RePEc:ags:sbrfsr:108829
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    Keywords

    preços do açúcar; modelos de previsão e volatilidade; sugar prices; prevision and volatility models; Crop Production/Industries; Demand and Price Analysis; Q11; C01; C22; C53;

    JEL classification:

    • Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices
    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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