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- W2273450004 abstract "Esta pesquisa tem como objetivo analisar e prever os precos e a volatilidade das duas principais commodities agricolas negociadas no mercado gaucho, por meio de modelos ARFIMA-GARCH. Tais modelos sao heteroscedasticos condicionais para a volatilidade, com modelagem de integracao fracionaria para a media condicional. As commodities em estudo sao a soja e o milho, que representam as duas principais lavouras permanentes do Estado do Rio Grande do Sul, em termos de quantidade produzida, no periodo de janeiro de 1995 a maio de 2007. Os modelos encontrados para as series de preco da soja e do milho foram, ARFIMA (1, d, 0)-GARCH (0, 1) e ARFIMA (1, d, 2)-GARCH (0, 2), respectivamente. Tais modelos sao capazes de modelar satisfatoriamente os dados, possibilitando uma analise de seu comportamento e a realizacao de previsoes a curto prazo, sinalizando possiveis posicoes de compra e venda no mercado futuro. Tendo em vista que as decisoes, no âmbito do agronegocio, envolvem a administracao de risco na compra e venda no mercado futuro, onde riscos sao relativos a volatilidade dos precos, a predicao consistente torna-se um importante instrumento na tomada de decisao dos participantes do processo produtivo.%%%%This research aims to analyze and predict the prices and volatility of the two major agricultural commodities traded on the market of the Rio Grande do Sul state through ARFIMA-GARCH models. Such models are heteroscedasticity conditional to the volatility, with modeling of integration fraction for the mean conditional. The commodities under study are soy and corn, which represent the two main crops standing of the state of Rio Grande do Sul, in terms of quantity produced in the period, which includes January 1995 to May 2007. The models found to the series of price of soy and corn were ARFIMA (1, d, 0)-GARCH (0, 1) and ARFIMA (1, d, 2)-GARCH (0, 2), respectively. These models are capable of modeling the data satisfactorily, allowing an analysis of their behavior and conduct of forecasts in the short term, signaling possible positions of buying and selling in the market future. Given that the decisions in the context of agribusiness, involving the administration of risk in the purchase and sale in the future market, where risks are related to the volatility of prices, a prediction consistent becomes an important tool in decision-making of the participants of this production process." @default.
- W2273450004 created "2016-06-24" @default.
- W2273450004 creator A5037356875 @default.
- W2273450004 date "2008-02-21" @default.
- W2273450004 modified "2023-09-23" @default.
- W2273450004 title "PREVISÃO DO PREÇO E DA VOLATILIDADE DE COMMODITIESAGRÍCOLAS, POR MEIO DE MODELOS ARFIMA-GARCH" @default.
- W2273450004 hasPublicationYear "2008" @default.
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