Volatilidade dos Retornos de Commodities Agropecuárias Brasileiras: um teste utilizando o modelo APARCH
No hay miniatura disponible
Fecha
Título de la revista
ISSN de la revista
Título del volumen
Editor
Resumen
Descripción
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.