文章基本信息

标题：Uma análise empírica da volatilidade do retorno de commodities agrícolas utilizando modelos ARCH: os casos do café e da soja
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作者：Silva, Washington Santos da ; Sáfadi, Thelma ; Castro Júnior, Luiz Gonzaga de 等
期刊名称：Journal of Food Distribution Research
印刷版ISSN：0047-245X
出版年度：2005
卷号：36
期号：3
页码：119-134
出版社：Food Distribution Research Society
摘要：We examine the volatility process of the returns of two important brazilian agricultural commodities, the coffee and soy, using models of the ARCH class. The empirical results suggest strong signs of persistence and asymmetry in the volatility of both series. Furthermore, the results suggest that the design of policies that create, facilitate the access and stimulate the use of market-based hedging devices can be proper strategies for such sectors in view of the persistence of shocks and the pronounced volatility found for the returns of these commodities.
关键词：ARCH models;brazilian agricultural commodities;volatility.