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

Clailton Ataídes de Freitas and Thelma Sáfadi

Brazilian Journal of Rural Economy and Sociology (Revista de Economia e Sociologia Rural-RESR), 2015, vol. 53, issue 2, 18

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.

Keywords: Agribusiness (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:ags:rdecag:212577

DOI: 10.22004/ag.econ.212577

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