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

Authors

  • Lucas Siqueira Castro UFV
  • Aziz Galvão Silva Júnior UFV

Keywords:

Brazilian commodities, ARCH models, prospects for biodiesel.

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.

Author Biographies

Lucas Siqueira Castro, UFV

Economista, mestrando em Economia Aplicada pelo Departamento de Economia Rural da UFV.

Aziz Galvão Silva Júnior, UFV

Engenheiro-agrônomo, Doutor em Administração Rural pela Universidade de Bonn, Alemanha, professor do Departamento de Economia Rural da UFV

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Published

2013-07-11

How to Cite

Castro, L. S., & Silva Júnior, A. G. (2013). Volatility analysis of sunflower oil prices in Brazil from 1960 to 2011. Revista De Política Agrícola, 22(2), 76–84. Retrieved from https://rpa.sede.embrapa.br/RPA/article/view/309

Issue

Vol. 22 No. 2 (2013)

Section

Artigos Científicos