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

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dc.creatorFreitas, Clailton Ataídes de
dc.creatorSáfadi, Thelma
dc.date2017-04-01T15:34:53Z
dc.date.accessioned2026-07-09T09:54:05Z
dc.descriptionThis 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.
dc.identifierdoi:10.22004/ag.econ.212577
dc.identifierhttps://ageconsearch.umn.edu/record/212577/files/Artigo%202.pdf
dc.identifierhttp://ageconsearch.umn.edu/record/212577
dc.identifier.urihttp://hdl.handle.net/123456789/613467
dc.languagepor
dc.publisher
dc.sourcehttp://ageconsearch.umn.edu/record/212577
dc.titleVolatilidade dos Retornos de Commodities Agropecuárias Brasileiras: um teste utilizando o modelo APARCH
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University of Minnesota