摘要：The aim of this study was to comparatively analyze the private returns from three important commodities to the Brazilian agribusiness: soybeans, coffee and live cattle. In order to supply useful information to farmers’ decision making and to support the governmental policy establishment, the analyses emphasized the market risk, evaluated from the variance conditional behavior. The autoregressive conditional heteroscedasticity models (ARCH) were used and, in a complementary way, Value-at-Risk (VaR) was estimated. After the confirmation that the variability of the returns from the three products has conditional dependency, the results indicated high persistence in the answers to the variance shocks. It was observed that the returns from coffee and soybeans are characterized by asymmetric answers to the positive and negative shocks, although the leverage effect was not identified. The VaR measures showed bigger loss potential to the coffee producers, followed by the soybeans and by the live cattle.
其他摘要：The aim of this study was to comparatively analyze the private returnsfrom three important commodities to the Brazilian agribusiness: soybeans, coffeeand live cattle. In order to supply useful information to farmers’ decision makingand to support the governmental policy establishment, the analyses emphasized themarket risk, evaluated from the variance conditional behavior. The autoregressiveconditional heteroscedasticity models (ARCH) were used and, in a complementaryway, Value-at-Risk (VaR) was estimated. After the confirmation that the variabilityof the returns from the three products has conditional dependency, the resultsindicated high persistence in the answers to the variance shocks. It was observedthat the returns from coffee and soybeans are characterized by asymmetric answersto the positive and negative shocks, although the leverage effect was not identified.The VaR measures showed bigger loss potential to the coffee producers, followedby the soybeans and by the live cattle.
关键词：Modelos ARCH;Value-at-Risk;produtos a gropecuários brasileiros;ARCH models;Value-at-Risk;Brazilian agricultural products
