ANÁLISE DA VOLATILIDADE DOS PREÇOS DE BOI GORDO NO ESTADO DE SÃO PAULO: UMA APLICAÇÃO DOS MODELOS GARCH

Carlos Alberto Goncalves da Silva

No 113360, 46th Congress, July 20-23, 2008, Rio Branco, Acre, Brazil from Sociedade Brasileira de Economia, Administracao e Sociologia Rural (SOBER)

Abstract: O presente trabalho teve como objetivo realizar uma análise da volatilidade do retorno dos preços de boi gordo no Estado de São Paulo; examinando-se dois fatores determinantes, a persistência de choques e assimetrias na volatilidade, por meio da aplicação dos modelos ARCH/GARCH. Os resultados empíricos mostraram reações de persistência e assimetria na volatilidade, ou seja, os choques negativos e positivos têm impactos diferenciados sobre a volatilidade dos retornos dos preços do boi gordo, o que pode ser comprovado pelos modelos EGARCH e TARCH.--------------------------------------------- This paper aims to analyze the volatility process of the return the prices of beef cattle in the State of São Paulo; examining two factors determinatives, the persistence of shocks and asymmetry in the volatility, by means of the application of ARCH/GARCH models. The empirical results had shown persistence reactions and asymmetry in the volatility, that is, the negative and positive shocks have impacts differentiated on the volatility of the returns of the prices of beef cattle, what it can be proven by EGARCH and TARCH models.

Keywords: Livestock; Production/Industries (search for similar items in EconPapers)
Pages: 14
Date: 2008-07
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Persistent link: https://EconPapers.repec.org/RePEc:ags:sbrfsr:113360

DOI: 10.22004/ag.econ.113360

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