Volatilidade de preços de produtos agrícolas: uma análise comparativa para soja, café, milho e boi gordo

Abstract

The instability of income of the producers and investors, originating from flotations in the prices, it represents a problem whose characteristics and causes should be researched thoroughly, in view of the importance of the commodity in the national agribusiness and of the losses that those flotations cause in profitability terms, jobs and exchange value to Brazil. This position, the class of models of autoregressive conditional heteroskedasticity is used (ARCH and GARCH), to characterize and to analyze the volatility of the series of monthly returns of the soy, coffee, corn and fat ox. The empiric analysis of the volatility shows that these products are marked by having accentuated flotations of prices, in that shocks positive or negative generate impacts with long period of duration. The sum of the reaction coefficients and persistence of the volatility showed values close or larger than one, indicating that the shocks in the volatility will last long for some time.