ANÁLISE DA VOLATILIDADE DOS PREÇOS NO MERCADO SPOT DE CAFÉS DO BRASIL
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It was intended in this research to detect and to analyze the existence of conditional volatility in the time series of the prices of the
spot market of the Brazilian coffee in the New York Board of Trade (NYBOT) in the period between January of 1946 and December
of 2000. The results of the models of GARCH type, applied for the prices of the coffee, indicated that the conditional variance of
the residues of the models possess unit roots and the same one will not present a behavior of reversion to its historical average with
passing of the time, after a shock. This happens because, the coefficients of volatility persistence had been all bigger or next to one