Value at risk como medida de risco da volatilidade dos ajustes diários em mercados futuros de café
Data
2002-12-20
Autores
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Editor
Universidade Federal de Lavras
Resumo
A utilização dos derivativos como instrumento de proteção de risco tem sido uma estratégia muito utilizada no mercado de commodities. Entretanto, estes mercados podem não somente reduzir os riscos de Variação de preços dos produtos negociados a futuros, mas, gerar novos fatores de riscos para os players. Estes novos fatores de risco estão relacionados com os ajustes diários pagos/recebidos pelos participantes durante a vigência dos contratos. Assim sendo, para se mensurar a exposição aos riscos gerados pelos ajustes diários realizou-se a modelagem para as séries de retorno futuro de café para quatro períodos. Examinou-se o processo da volatilidade dos retornos do café, por meio de modelos da classe ARCH. Os resultados empíricos sugerem fortes sinais de persistência e assimetria na volatilidade das séries mais distantes do vencimento do contrato. Os critérios de qualidade do ajuste utilizados indicaram que todos os modelos estimados tiveram um bom desempenho. As previsões dos VaRs (Value-at-Risk) dos ajustes diários para os períodos de março e setembro de 2002 fizeram-se muito significativos, comparativamente com os valores no risco reais para os períodos.
The utilization of the derivatives as instrument of risk protection has been a strategy very utilized in the commodities market. However, these markets can not only reduce the risks ofprice variation ofthe products negociated on future as generate other risk factors to the players. These new risk factors are related to the daily adjustments payed/received by the participants during the endurarice of the contracts. So, to know better the extension of the exposure to the risks generated by these daily adjustments, it was conceived amodel to the series of coffee future returnings of four periods. It was made na examination of the volatility ofthe coffee returnings trhoughout the models of the ARCH class. The empirical data suggest strong signs of persistence and assymetry on the volatility of the series that are further away ofthe due date of the contract. The utilized criteria of the adjustment quality indicated that ali the estimated models had agood performance. The foresight ofthe VaRs of the daily adjustments for the periods of March and Sptember, 2002 have shown themselves very significant if compared with the real values at risk for these periods.
The utilization of the derivatives as instrument of risk protection has been a strategy very utilized in the commodities market. However, these markets can not only reduce the risks ofprice variation ofthe products negociated on future as generate other risk factors to the players. These new risk factors are related to the daily adjustments payed/received by the participants during the endurarice of the contracts. So, to know better the extension of the exposure to the risks generated by these daily adjustments, it was conceived amodel to the series of coffee future returnings of four periods. It was made na examination of the volatility ofthe coffee returnings trhoughout the models of the ARCH class. The empirical data suggest strong signs of persistence and assymetry on the volatility of the series that are further away ofthe due date of the contract. The utilized criteria of the adjustment quality indicated that ali the estimated models had agood performance. The foresight ofthe VaRs of the daily adjustments for the periods of March and Sptember, 2002 have shown themselves very significant if compared with the real values at risk for these periods.
Descrição
Dissertação de Mestrado defendida na Universidade Federal de Lavras
Palavras-chave
var, value at risk, modelos arch, volatilidade, mercados futuros, arch models, volatility, futures markets
Citação
MÓL, Anderson Luiz Rezende. Value at risk como medida de risco da volatilidade dos ajustes diários em mercados futuros de café. 2002. 102 p. Dissertação (Mestrado em Administração) - Universidade Federal de Lavras, Lavras, 2002.