Comparison between the complete Bayesian method and empirical Bayesian method for ARCH models using Brazilian financial time series

Oliveira, Sandra Cristina de; Andrade, Marinho G.

doi:10.1590/s0101-74382012005000019

Cited by 5 publications

(2 citation statements)

References 22 publications

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“…According to , "forecasts with many steps forward and using the same adjustment model are not recommended". As data are updated, the adjustment model should be revised in order for the forecasts to be more accurate (Oliveira & Andrade, 2012). In this case, one can observe a need for the models to be updated in about six months (from June 2021).…”

Section: Resultsmentioning

confidence: 99%

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Effect of Production Costs on the Price per Ton of Sugarcane: The Case of Brazil

Oliveira

Amorim

Barbosa

et al. 2022

IJSSS

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The costs of agricultural inputs added to those of labor represent almost a third of the total cost of Brazilian sugarcane production. This study analyzes the behavior of the price per ton of sugarcane in Brazil, relating it to the main production costs of this cultivation. Twelve price indicators from January 2015 to December 2020 were evaluated. First, the data were adjusted to a multiple linear regression model to identify the significant variables on variation in the price per ton of sugarcane. Then, the Monte Carlo simulation was used to measure the level of certainty of occurrence of these variables, and forecasts were obtained from the adjustment of ARIMA models. The results showed the influence of the costs of diesel oil, two agricultural pesticides, and daily laborers on the price of sugarcane, besides an increasing trend of its, providing relevant short-term projections for decision-making about investments in the agribusiness sector.

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Section: Resultsmentioning

confidence: 99%

“…The model with the maximum likelihood is the one that fits the data the best. Then, the best model is the one that has the lowest AIC value (Oliveira & Andrade, 2012).…”

Section: Autoregressive Integrated Moving Average (Arima) Modelsmentioning

confidence: 99%

Effect of Production Costs on the Price per Ton of Sugarcane: The Case of Brazil

Oliveira

Amorim

Barbosa

et al. 2022

IJSSS

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A study about the performance of time series models for the analysis of agricultural prices

Oliveira

Pereira

Hanashiro

et al. 2012

GEPROS

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Agribusiness is one of the most relevant achievements in Brazilian and world economies. Price is an important variable within this sector since economic and market conditions vary over time. Efficient modeling methods are needed to describe better the trends and the characteristics of that variable. The performance of time series techniques of fixed and open models for analysis of agricultural prices will be provided to demonstrate the feasibility of techniques for the generation of results in the wake of economic decisions. Historical time series of monthly average price of cash crops, such as groundnut, sugarcane, banana and orange, received by Brazilian producers, were analyzed for the period between August 1994 and December 2009 and updated by the General Price Index - Internal Availability. Current study shows that exponential smoothing models and Box & Jenkins modeling are viable alternatives for the adjustment of the above price series, each one with its specific characteristics. Keywords: Statistical Models; Agricultural Marketing; Resource Efficiency; Management; Decision Taking.

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An Approach to Financial Risk in a Portfolio for Planning the Industrial Production of Products Derived From Sugarcane

Clemente

Filho

2015

Pesqui. Oper.

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Brazil's location and tropical weather conditions are favourable cultivating sugarcane, which has led to Brazil being one of the world's largest producers of sugarcane. The influence of the sugarcane industry on its economy stands out among the indicators of Brazilian economic growth and because the diversified investment when planning the production of products derived from this sector is encouraged. The decision on which derivative (for example, crystal sugar, anhydrous ethanol, or hydrous ethanol) to produce from raw sugarcane can be modelled as an investment decision in a portfolio decision problem whenever a combination of these products is considered. As to the future price of these commodities, raw sugarcane is considered to be capital that should be invested. Thus, this paper puts forward a decision model which uses concepts from Decision Analysis and Bayesian Risk Analysis that may well assist the process of managing assets in the Brazilian sugarcane industry by considering the financial aspect when compiling a portfolio for planning production.

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Comparison between the complete Bayesian method and empirical Bayesian method for ARCH models using Brazilian financial time series

Cited by 5 publications

References 22 publications

Effect of Production Costs on the Price per Ton of Sugarcane: The Case of Brazil

Effect of Production Costs on the Price per Ton of Sugarcane: The Case of Brazil

A study about the performance of time series models for the analysis of agricultural prices

An Approach to Financial Risk in a Portfolio for Planning the Industrial Production of Products Derived From Sugarcane

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