Forecast and volatility of the export price of cattle in Bahia

Abstract

Beef cattle farming in Brazil originated in the 16th century, driven by the expansion of the agricultural frontier and the use of lands exhausted by agriculture. Today, Brazil has the world's second-largest commercial herd and is the largest global exporter of beef. Bahia has the country's seventh-largest herd. The relevance of the Bahian herd to Brazil and the Northeast region is undeniable. In light of the product's price fluctuations, caused by external market shocks and productive transformations in the sector, the objective of this study was to analyze the volatility of export prices for slaughter cattle in Bahia between 2014 and 2023, in addition to forecasting prices for the next 12 months. The methodology adopted is based on time series modeling, with an emphasis on volatility models such as ARCH, GARCH, EGARCH, and TARCH. The results showed that there is no conditional volatility in the return series of Bahian export prices for fattened cattle during the analyzed period. Despite this finding, there is a need to improve and strengthen public policies aimed at the production and competitiveness of this productive sector in the state.