tests included the tests for unitary root, and Johansen´s co-integration. Besides, the analytical framework also includes …

Johansen´s co-integration, the estimation of impulse-response function, the decomposition of the variance of the forecasting … error and the vector error correction model (VEC). The results indicate that the first pair of prices did not present any co-integration …

(EQM) ex-post.-------------------------------------The aim of this work is to measure the volatility of sugar prices … regarding the price of the referred commodity. To do this it is used ARCH models of volatility analysis and univariate prevision … asymmetry between positive and negative impacts and indicate the persistence of volatility of sugar prices, resulting that the …

persistence of volatility in the group was observed by empirical measurement of econometric models GARCH. The test ARCH … volatility. The sum of the coefficients of reaction (ARCH) and persistence (GARCH) resulted in values very close to 1 for these … do agrupamento da volatilidade foi observada através da mensuração empírica dos modelos econométricos GARCH. O teste ARCH …