Silva, Washington Santos da; Sáfadi, Thelma; Castro … - In: Brazilian Journal of Rural Economy and Sociology (RESR) 43 (2005) 1
We examine the volatility process of the returns of two important brazilian agricultural commodities, the coffee and soy, using models of the ARCH class. The empirical results suggest strong signs of persistence and asymmetry in the volatility of both series. Furthermore, the results suggest...