Agroenergia: a questão da volatilidade de preços e o efeito alavancagem dos produtos agrícolas

Abstract

The cyclical flotation’s and/or season of the prices of the agricultural products generate instability, so much in the income of the producer as in the urban consumers’ expenses. The knowledge of the pattern of seasonal flotation or volatility of these prices help in the implementation of politics gone back to agricultural production addressed for agroenergy. This position, the class of models of autoregressive conditional heteroskedasticity is used (ARCH and GARCH and their extensions, TARCH and EGARCH), to characterize and to analyze the volatility of the series of monthly returns of the soy, castor oil plant and sugar cane. The empiric analysis of the volatility shows that these products are marked by having accentuated flotation’s 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 close values of one, indicating that the shocks in the volatility will last long for some time.