Adami, Andreia Cristina de Oliveira; Barros, Geraldo … - Sociedade Brasileira de Economia e Sociologia Rural - SOBER - 2008
framework used was GARCH(1,1) VaR models to predict conditional variance and measure risk for long and short positions …. Forecasts out of the sample of the type VaR were made for the risk of the market for one month ahead (a step forward). The … highest forecasts. So if the marketing agent was in long or short position the risk measured was 3.22%. …