Silveira, Rodrigo Lanna Franco da; Maciel, Leandro dos Santos; Mattos, Fabio L.; Ballini, Rosangela

doi:10.1016/j.rausp.2017.08.003

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Finance and Accounting • Rev. Adm. (São Paulo) 52 (4) • Oct-Dec 2017 • https://doi.org/10.1016/j.rausp.2017.08.003 copiar

Persistencia de volatilidad y efecto de inventario en los mercados de futuros de granos: evidencia de un modelo recursivo

Autoría SCIMAGO INSTITUTIONS RANKINGS

Resumen

El objetivo en este estudio es investigar la persistencia de la volatilidad y el efecto de inventario en los mercados de futuros de granos en el período de 1959 a 2014. La innovación del trabajo consiste en la aplicación de un modelo de volatilidad recursivo TARCH(1,1) por estimación, en un período de cuatro años. Los resultados indican una alta persistencia de la volatilidad condicional en el mercado de maíz y soja. Además, hay evidencia de efectos de inventario, tiempo hasta la expiración y estacionalidad en la dinámica de la volatilidad de los precios de ambos mercados. También se ha verificado una baja persistencia de la volatilidad a corto plazo en los últimos años, lo que ha causado una caída de la persistencia de la volatilidad a largo plazo.

Palabras clave:
Volatilidad; Persistencia de la volatilidad; Efecto de inventario; Mercado futuro de granos

Reference	Method	Variables	Period (data frequency)	Seasonality effect			Time-to-maturity effect			Inventory effect			Trade effect			Speculative activity effect			Loan rate effect			Price level effect			Volatility persistence effect
				Y	N	NS	Y	N	NS	Y	N	NS	Y	N	NS	Y	N	NS	Y	N	NS	Y	N	NS	Y	N	NS
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	Soybeans		Corn
	R _t	\|R _t \|	R _t	\|R _t \|
Observations (n)	13,977	13,977	13,980	13,980
Mean (%)	0.0242^a a Statistically distinguishable from zero at 10%.	1.0157^a a Statistically distinguishable from zero at 10%.	-0.0064	0.9676^a a Statistically distinguishable from zero at 10%.
Median (%)	0.0461	0.6993	0.0000	0.6676
Maximum (%)	12.5279	15.0626	8.6618	10.4088
Minimum (%)	-15.0626	0.0000	-10.4088	0.0000
Std. deviation (%)	1.4586	1.0471	1.3868	0.9916
Skewness	-0.2465	2.4103	-0.0213	2.1846
Kurtosis	7.9065	13.8311	6.6350	10.1911
Jarque-Bera stat.	14,161.28	81,853.13	7697.60	41,242.95

Parameter	(I) Full sample		(II) 1959-1972		(III) 1973-1988		(IV) 1989-2004		(V) 2005-2014
	Coeff.	Prob.	Coeff.	Prob.	Coeff.	Prob.	Coeff.	Prob.	Coeff.	Prob.
Mean equation
Constant	0.0036	0.7941	-0.0075	0.6913	0.0109	0.8965	0.0631	0.2915	0.2357	0.0510
h _t	0.0205	0.1968	0.0559	0.1302	0.0056	0.8468	-0.0479	0.3735	-0.1184	0.1617
R(-1)	0.0017	0.8495	0.0028	0.8761	0.0013	0.9377	-0.0117	0.5004	0.0179	0.4047

Variance equation
Constant	0.0050	0.0008	0.0017	0.2298	0.0511	0.0000	0.0394	0.0000	0.0543	0.0000
ε²_t-1	0.0944	0.0000	0.0900	0.0000	0.1050	0.0000	0.0634	0.0000	0.0649	0.0000
D_t-1ε²_t-1	-0.0525	0.0000	-0.0690	0.0000	-0.0512	0.0000	-0.0375	0.0000	-0.0205	0.0581
GARCH(-1)	0.9300	0.0000	0.9400	0.0000	0.9132	0.0000	0.9446	0.0000	0.9306	0.0000
SE₁ (1º quarter)	0.0029	0.0000	0.0024	0.0003	-0.0027	0.6436	0.0046	0.0995	0.0147	0.1457
SE₂ (2º quarter)	0.0058	0.0000	0.0040	0.0000	0.0242	0.0016	0.0350	0.0000	0.0128	0.1758
SE₃ (3º quarter)	0.0029	0.0202	0.0044	0.0007	-0.0074	0.3607	-0.0063	0.1848	0.0312	0.0127
ME	-0.0003	0.0000	-0.0001	0.0091	-0.0016	0.0001	-0.0015	0.0000	-0.0015	0.0136
R-squared	-0.0002		-0.0005		0.0003		0.0004		0.0018
Adjusted R-squared	-0.0004		-0.0011		-0.0002		-0.0001		0.0010
S.E. of regression	1.4589		0.8296		1.8176		1.3408		1.6482
Durbin-Watson stat.	1.8892		2.0438		1.7614		1.9746		2.0020

Parameter	(I) Full sample		(II) 1959-1972		(III) 1973-1988		(IV) 1989-2004		(V) 2005-2014
	Coeff.	Prob.	Coeff.	Prob.	Coeff.	Prob.	Coeff.	Prob.	Coeff.	Prob.
Mean equation
Constant	0.0093	0.4471	0.0073	0.8301	-0.0106	0.8189	0.1604	0.0084	-0.1031	0.4503
h _t	-0.0146	0.5967	-0.0137	0.8078	0.0133	0.7641	-0.1603	0.0043	0.0564	0.4735
R(-1)	0.0401	0.0000	0.0294	0.1227	0.0585	0.0004	0.0481	0.0024	0.0247	0.2085

Variance equation
Constant	0.0197	0.0000	0.0415	0.0000	0.0365	0.0000	0.0221	0.0000	0.0259	0.2201
ε²_t-1	0.0875	0.0000	0.1516	0.0000	0.0917	0.0000	0.0477	0.0000	0.0436	0.0000
D_t-1ε²_t-1	-0.0192	0.0000	-0.0778	0.0000	-0.0074	0.5349	-0.0200	0.0008	0.0243	0.0199
GARCH(-1)	0.9210	0.0000	0.8513	0.0000	0.8992	0.0000	0.9528	0.0000	0.9245	0.0000
SE₁ (1º quarter)	-0.0026	0.0877	-0.0123	0.0000	-0.0046	0.4464	0.0012	0.6981	0.0554	0.0001
SE₂ (2º quarter)	0.0012	0.5344	-0.0108	0.0013	0.0066	0.2759	0.0328	0.0000	0.0858	0.0000
SE₃ (3º quarter)	0.0026	0.2613	0.0044	0.3236	0.0231	0.0231	-0.0067	0.1177	0.0477	0.0139
ME	-0.0005	0.0000	-0.0005	0.0000	-0.0007	0.0000	-0.0005	0.0001	0.0002	0.7026
R-squared	0.0025		-0.0009		0.0081		0.0047		0.0007
Adjusted R-squared	0.0024		-0.0015		0.0076		0.0042		-0.0001
S.E. of regression	1.3852		0.7851		1.4314		1.2752		1.9821
Durbin-Watson stat.	1.9715		2.0547		1.9181		1.9834		1.9958

	Summary statistics
	Mean	Median	SD
Alpha (α ₁ )
Soybeans	0.0796	0.0786	0.0265
Corn	0.0792	0.0774	0.0458
p-Value	0.3689	0.0000	0.0000

Beta (β)
Soybeans	0.9314	0.9329	0.0262
Corn	0.9004	0.9012	0.0453
p-Value	0.0000	0.0000	0.0000

Gamma (γ)
Soybeans	-0.0480	-0.0524	0.0279
Corn	-0.0228	-0.0285	0.0526
p-Value	0.0000	0.0000	0.0000

Half-life (ϑ)
Soybeans	65.94	21.24	2276.53
Corn	98.47	56.52	2827.86
p-Value	0.3123	0.0000	0.0000

	Alpha (α)			Beta (β)			Gamma (γ)			Half-life
	Mean	Med	SD	Mean	Med	SD	Mean	Med	SD	Mean	Med	SD
Soybeans
1959-72	0.0920	0.0942	0.0212	0.9402	0.9382	0.0177	-0.0689	-0.0682	0.0182	141.22	137.56	6233.85
1973-88	0.0899	0.0921	0.0252	0.9209	0.9245	0.0264	-0.0441	-0.0520	0.0255	135.90	50.48	2042.34
1989-04	0.0768	0.0830	0.0276	0.9329	0.9310	0.0320	-0.0611	-0.0622	0.0180	57.22	46.44	678.03
2005-14	0.0572	0.0578	0.0112	0.9383	0.9380	0.0126	-0.0155	-0.0146	0.0190	68.25	60.68	30.67

Comparison between periods (p-value) ^a a p-Value for the hypothesis test that the population statistics are equal.
1959-72 × 1973-88	0.0010	0.0151	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.9605	0.0000	0.0000
1959-72 × 1989-04	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.5399	0.3974	0.0000	0.0000
1959-72 × 2005-14	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0247	0.5570	0.0000	0.0000
1973-88 × 1989-04	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0203	0.0000	0.0000
1973-88 × 2004-14	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0966	0.0000	0.0000
1989-04 × 2004-14	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0012	0.4151	0.0000	0.0000

Corn
1959-72	0.1504	0.1467	0.0298	0.8458	0.8440	0.0351	-0.0832	-0.0802	0.0225	14.62	13.96	210.93
1973-88	0.0747	0.0751	0.0310	0.9195	0.9309	0.0316	-0.0181	-0.0215	0.0417	137.54	30.21	4036.63
1989-04	0.0693	0.0757	0.0271	0.9053	0.8954	0.0474	-0.0216	-0.0270	0.0203	45.84	24.18	166.50
2005-14	0.0418	0.0425	0.0349	0.9084	0.9110	0.0298	0.0189	0.0098	0.0723	27.05	18.66	22.29

Comparison between periods (p-value) ^a a p-Value for the hypothesis test that the population statistics are equal.
1959-72 × 1973-88	0.0000	0.0000	0.0330	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.1596	0.0000	0.0000
1959-72 × 1989-04	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000
1959-72 × 2005-14	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0033	0.0000	0.0000
1973-88 × 1989-04	0.0000	0.4668	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.1496	0.0001	0.0000
1973-88 × 2004-14	0.0000	0.0000	0.0000	0.0000	0.0000	0.0014	0.0000	0.0000	0.0000	0.1695	0.0000	0.0000
1989-04 × 2004-14	0.0000	0.0000	0.0000	0.0029	0.0029	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000

Departamento de Administração da Faculdade de Economia, Administração e Contabilidade da Universidade de São Paulo Avenida Professor Luciano Gualberto, 908, sala F184, 05508-900 São Paulo / SP Brasil, Tel./Fax 55 11 3818-4002 - São Paulo - SP - Brazil
E-mail: rausp@usp.br

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[1] * Corresponding author at: Unicamp/Instituto de Economia, CP 6135, sala 68, CEP 13085-970 Campinas, SP, Brazil. E-mail:rlanna@unicamp.br (R.L. Silveira).