O IMPACTO DA PANDEMIA DE COVID-19 NA VOLATILIDADE DOS PREÇOS AGRÍCOLAS BRASILEIROS: UM ESTUDO PARA SOJA, MILHO E ALGODÃO

Authors

  • Dallas kelson Francisco de Souza Universidade Estadual de Campinas

DOI:

https://doi.org/10.22478/ufpb.2525-3867.2021v6n1.54933

Abstract

The purpose of this paper was to analyze the impacts of the global pandemic of COVID – 19 on the price volatility of three important commodities exported by Brazil: soybean, corn and cotton. Therefore, the historical volatility of the respective daily prices was observed and the univariate time series models of the generalized conditional heteroscedasticity (GARCH) with Threshold (TGARCH) were analyzed. Estimates of historical volatility showed that the volatility of soybean, corn and cotton prices increased with the world pandemic, that is, the price risk for these commodities increased with the pandemic. In addition, the price of corn had an ARCH effect after the global pandemic announcement made by the World Health Organization (WHO).

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Published

2021-08-13

Issue

Vol. 6 No. 1 (2021): Métodos e Pesquisa em Administração

Section

CHAMADA ESPECIAL: Impactos da Covid-19 na Administração

License

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