Volatility analysis of sunflower oil prices in Brazil from 1960 to 2011

Abstract

The objective of this study was to analyze the returns of commodity sunflower oil. The analyses emphasized market risk, which is measured by the behavior of the conditional variance. The following models were used for the period of January 1960 to June 2011: Autoregressive Conditional Heteroscedasticity (ARCH), Generalized Autoregressive Conditional Heteroscedasticity (GARCH), and Threshold Autoregressive Conditional Heteroscedasticity (TARCH). Confirmation that the variability of returns is conditionally dependent has indicated that this culture has low persistence in response to shocks in the variance, thus reducing production risks with respect to prices for growers.