用拱形模型研究咖啡豆价格的收益率波动

S. Oliveira
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引用次数: 0

摘要

就初级商品而言,价格波动主要是由于供应的干扰,而对工业原材料而言,价格波动则是由于需求的干扰。在对商品市场的分析中可以看出,信息、套期保值、投机和实物可得性是影响其波动性的因素。此外,商品市场波动性的增加可以证明使用基于信息的流程对这些商品的回报波动性模式进行建模是合理的。自家庭自回归条件异方差(ARCH)模型的相关问题的解决方案在经济和金融领域由于其适用性和解释(回报和波动性之间的关系),这项工作的目的是比较参数的贝叶斯估计拱过程与正常学生的t分布的条件分布返回一系列的咖啡豆的价格。此外,利用蒙特卡洛马尔可夫链模拟方法提出了信息先验分布,并得到了后验总结。结果表明,所提出的贝叶斯方法提供了令人满意的估计,并且具有Student 's t分布的ARCH过程能够更好地适应数据。
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A STUDY ON THE RETURN VOLATILITY OF THE COFFEE BEANS PRICE USING ARCH MODELS
In the case of primary commodities, price volatility would arise mainly due to disturbances in supply, whereas for industrial raw materials, it would be the result of disturbances in demand. In the analysis of commodity markets can be seen that information, hedging, speculation and physical availability are factors that can influence their volatility. Moreover, increased volatility in commodity markets can justify the use of information-based processes for modeling the pattern of return volatility of these commodities. Since the relevance of autoregressive conditional heteroscedasticity (ARCH) family models in the solution of problems in economic and financial areas due to their applicability and interpretation (the relation between return and volatility) have been provided, the aim of this work was to compare the Bayesian estimates for the parameters of ARCH processes with normal and Student’s t distributions for the conditional distribution of the return series of coffee beans price. In addition, informative prior distributions were suggested and posterior summaries were obtained by Monte Carlo Markov Chain simulation methods. Results showed that the proposed Bayesian approach provides satisfactory estimates and that the ARCH process with Student’s t distribution adjusts better to the data.
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发文量
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审稿时长
12 weeks
期刊最新文献
ESTUDO DE TRÁFEGO DE VEÍCULOS, INTERVENÇÕES DE SINALIZAÇÕES E URBANISMO TÁTICO NO ENTORNO DO HOSPITAL DA VIDA COMO POLO GERADOR DE VIAGENS ENGLISHVR: USO DE REALIDADE VIRTUAL NO ENSINO DA LÍNGUA INGLESA NAS ESCOLAS DE ENSINO FUNDAMENTAL ESTADUAL BRASILEIRO ANÁLISE DE METAIS POTENCIALMENTE CONTAMINANTES NOS PEIXES DO RIO TAQUARI, BACIA DO RIO PARAGUAI, MUNICÍPIO DE COXIM-MS MODELO SEMÂNTICO DE OPERAÇÕES ARITMÉTICAS E LÓGICAS PARA HARDWARE VIRTUAL PHYSIOVR: FERRAMENTA DE REALIDADE VIRTUAL APLICADO NA REABILITAÇÃO CARDIOVASCULAR
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