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

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.


Subject(s):
Issue Date:
Jun 30 2015
Publication Type:
Journal Article
PURL Identifier:
http://purl.umn.edu/212577
Published in:
Brazilian Journal of Rural Economy and Sociology (Revista de Economia e Sociologia Rural-RESR), Volume 53, Number 2
Page range:
211-228
Total Pages:
18
JEL Codes:
C01; C15; C22; Q11 e Q14.
Series Statement:
Volume 53
Number 02




 Record created 2017-04-01, last modified 2017-07-11

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