Investigation of persistence in variance and structural breaks in exported mango and grape prices series of Bahia, Brazil
This study verified the persistence in variance and the occurrence of structural breaks in the prices series of mango and grape of exported from Bahia, Brazil, given the simultaneity of these facts that impair the efficiency of the financial risk management models that consider the variance as a mea...
| Autores: | , |
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| Tipo de recurso: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2018 |
| País: | Brasil |
| Institución: | Centro Universitário de Belo Horizonte (UNIBH) |
| Repositorio: | Revista e-xacta |
| Idioma: | portugués |
| OAI Identifier: | oai:ojs.periodicos.uninove.br:article/6899 |
| Acceso en línea: | https://periodicos.uninove.br/exacta/article/view/6899 |
| Access Level: | acceso abierto |
| Palabra clave: | Persistence in variance. Structural breaks. Exported fruits. Persistência na variância. Quebras estruturais. Fruticultura exportadora |
| Sumario: | This study verified the persistence in variance and the occurrence of structural breaks in the prices series of mango and grape of exported from Bahia, Brazil, given the simultaneity of these facts that impair the efficiency of the financial risk management models that consider the variance as a measure of this risk. It was used the GARCH (1, 1) model to identify the persistence in variance, and a Markov Switching pure model of variance to identify structural breaks. Regarding persistence in variance, it wasn’t shown in any of the time series analyzed. Regarding structural breaks, although they haven’t been found, the MS pure model of variance only succeed in deal with the heteroskedasticity present in mango time series, while for the grape time series, the GARCH(1,1) model served better in this respect. This suggests some “immunity” of these time series in face of the international macroeconomic changes occurred between 1989 and 2014. |
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