Persistence on variance and structural breaks in the time series of fruits prices at the JuazeirO (BA) producer market
DOI:
https://doi.org/10.14488/1676-1901.v17i4.2698Keywords:
Fruits. Persistence on variance. Structural breaks. Markov Switching models. GARCH models.Abstract
The aim of this paper was to verify the persistence on variance and the occurrence of structural breaks in the time series of fruits prices at the Juazeiro Producer Market (JPM-BA), given the simultaneity of these facts that undermine the efficiency of the financial risk management models that consider variance as a measure of this risk. The price of 21 fruits was collected from the JPM-BA Administration, in R$/kg, monthly, between January/2001 and December/2014, totalling 168 observations per fruit. The GARCH (1,1) model was used to identify the persistence on variance and a pure Markov Switching (MS) variance model to identify the structural breaks. Regarding persistence on variance, only two fruits showed signs of structural breaks on their variance. On the structural breaks, the pure MS variance model was able to deal better with heteroscedasticity than the GARCH (1,1) model, mainly regarding the expected duration of the high volatility due to the shocks. Therefore, the study pointed to a low incidence of these phenomena in the fruits of JPM-BA, suggesting certain “immunity” to the Brazilian and international macroeconomic changes that occurred between 2001 and 2014.Downloads
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