The Efficient Market Hypothesis and the Dynamic Behavior of Sugar Future Prices
نویسندگان
چکیده
RESUMO: o presente trabalho examina a hipótese de eficiência de mercado estimando um modelo de series temporais com coeficientes que variam no tempo. A metodologia utilizada foi a do Filtro de Kalman para um modelo autoregressivo e de média móvel (ARMA) com erros modelados com heteroscedasticidade condicional autoregressiva generalizada (GARCH). O modelo foi estimado pelo método da máxima verossimilhança para os retornos dos preços futuros do açúcar. As variáveis de maior ordem de defasagem foram as que mostraram a maior queda em valor absoluto no tempo; o que pode sugerir que variáveis com maior ordem de defasagem perdem peso no tempo a medida que os mercados tornam-se mais eficientes.
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