# Modelling Risk for Commodities in Brazil: An Application for Live Cattle Spot and Futures Prices

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## Abstract

**:**

## 1. Introduction

## 2. BGI and Futures Prices

_{2}data. The results confirm that the model has a reasonable goodness of fit and produces excellent forecasts.

## 3. Empirical Research on BGI

#### 3.1. Exponential Smoothing Algorithms

#### 3.2. ARIMA

#### 3.3. GARCH

#### 3.4. GARMA

## 4. Conclusions

## Author Contributions

## Funding

## Data Availability Statement

## Conflicts of Interest

## References

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**Figure 14.**Fit for last 60 Days of trade—order $c\left(1,0\right)$ with and without intercept and order $c\left(2,1\right)$ with intercept.

**Figure 17.**Forecast of futures prices with confidence interval for April—GARMA model order $c\left(2,1\right)$ without intercept.

Variable | Min | First Qu | Median | Mean | Third Qu | Max | SD |
---|---|---|---|---|---|---|---|

Future price | 50.20 | 79.50 | 95.25 | 94.02 | 102.94 | 151.55 | 21.79 |

Spot price without FUNRURAL | 51.31 | 77.28 | 93.95 | 93.09 | 102.11 | 150.65 | 22.00 |

Spot price with FUNRURAL | 52.52 | 79.11 | 96.17 | 95.28 | 104.52 | 154.20 | 22.52 |

Model | Mean Square Deviation | AIC |
---|---|---|

Simple exponential smoothing | 4.9829 | – |

Holt exponential smoothing | 14.3605 | – |

ARIMA(1,1,0) | 4.7612 | 4830.15 |

ARIMA(2,1,1) | 5.2051 | 4826.42 |

ARIMAX(1,1,0) | 6.0907 | 4711.76 |

ARIMAX(2,1,1) | 6.0671 | 4715.48 |

ARIMAX(0,0,5) | 18.6478 | 5606.42 |

GARCH(1,1) | 0.6774 | 2.2184 |

GARMA c(1,0) with intercept | 1.7036 | 3965.59 |

GARMA c(1,0) without intercept | 1.7036 | 3963.59 |

GARMA c(2,1) with intercept | 1.7862 | 3950.68 |

GARMA c(2,1) without intercept | 0.1284 | 3957.93 |

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## Share and Cite

**MDPI and ACS Style**

Alcoforado, R.G.; Egídio dos Reis, A.D.; Bernardino, W.; Santos, J.A.C.
Modelling Risk for Commodities in Brazil: An Application for Live Cattle Spot and Futures Prices. *Commodities* **2023**, *2*, 398-416.
https://doi.org/10.3390/commodities2040023

**AMA Style**

Alcoforado RG, Egídio dos Reis AD, Bernardino W, Santos JAC.
Modelling Risk for Commodities in Brazil: An Application for Live Cattle Spot and Futures Prices. *Commodities*. 2023; 2(4):398-416.
https://doi.org/10.3390/commodities2040023

**Chicago/Turabian Style**

Alcoforado, Renata G., Alfredo D. Egídio dos Reis, Wilton Bernardino, and José António C. Santos.
2023. "Modelling Risk for Commodities in Brazil: An Application for Live Cattle Spot and Futures Prices" *Commodities* 2, no. 4: 398-416.
https://doi.org/10.3390/commodities2040023