DINÂMICA DA VOLATILIDADE DO RETORNO DAS PRINCIPAIS COMMODITIES BRASILEIRAS: UMA ABORDAGEM DOS MODELOS ARCH

Gibran da Silva Teixeira, Sinezio Fernandes Maia, Nayana Mangueira Figueiredo, Elenildes Santana Pereira and Pablo Aurelio Lacerda De Almeida Pinto

No 109785, 46th Congress, July 20-23, 2008, Rio Branco, Acre, Brazil from Sociedade Brasileira de Economia, Administracao e Sociologia Rural (SOBER)

Abstract: Este artigo trata da aplicabilidade de modelos da família ARCH como ferramenta de análise quanto ao comportamento do retorno do cacau, do boi gordo, do café, tradicionais commodities agrícolas brasileira, servindo de auxílio para decisão dos agentes na compra e venda destes produtos. De forma geral, para as três commodities estudadas, as volatilidades do retorno indicam fortes sinais de persistência, os choques levam um longo tempo para dissipar-se, e choques positivos e negativos têm impacto distinto sobre a volatilidade. Os mercados são assimétricos para o retorno destas commodities. Os mercados futuros do boi gordo e do cacau também sofrem influência do efeito alavancagem, ou seja, se torna mais volátil perante informações negativas do que informações positivas.---------------------------------------------This paper is about the applied of models of the family ARCH as analysis tool with relationship to the behavior of the return of the cocoa, of the fatcow, of the coffee, Brazilian traditional agricultural commodity, serving as aid for the agents decision in the purchase and sale of these products. In a general way, for the three studied commodities the volatilities of the return indicate strong signs of persistent, and the shocks take a long time to vanish, and collide positive and negatives have different impact about the volatility. The markets are asymmetric for the return of these commodities. For the future market of the fat ox and of the cocoa it suffers influence of the effect gearshift, that is to say, becomes more volatile before negative information than positive information.

Keywords: Community/Rural/Urban Development; International Relations/Trade (search for similar items in EconPapers)
Pages: 20
Date: 2008-07
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Persistent link: https://EconPapers.repec.org/RePEc:ags:sbrfsr:109785

DOI: 10.22004/ag.econ.109785

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