Volatility impact in Portland cement price
This paper aims to identify the best time series model to represent the autoregressive and oscillatory behavior of Portland 32 cement, ARIMA or ARCH model. The analysis was based on the national price and the southern region price. Data were collected in the Brazilian Chamber of Construction Industr...
| Autores: | , |
|---|---|
| Formato: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2020 |
| País: | Brasil |
| Recursos: | Centro Universitário de Belo Horizonte (UNIBH) |
| Repositorio: | Revista e-xacta |
| Idioma: | portugués |
| OAI Identifier: | oai:ojs.periodicos.uninove.br:article/10660 |
| Acesso em linha: | https://periodicos.uninove.br/exacta/article/view/10660 |
| Access Level: | acceso abierto |
| Palavra-chave: | ARIMA models ARCH models Cement price. Modelos ARIMA Mdelos ARCH Preço do Cimento. |
| Resumo: | This paper aims to identify the best time series model to represent the autoregressive and oscillatory behavior of Portland 32 cement, ARIMA or ARCH model. The analysis was based on the national price and the southern region price. Data were collected in the Brazilian Chamber of Construction Industry from June 1994 to January 2018. The best model for the both series was ARCH (1,0). We concluded that when there is a shock in production or sale of national price cement will have a greater impact, while South region prices will vary in a smaller scale and for a longer period. This study provides information for decision making in cement stock and purchase control in sector stores as well as in construction companies. |
|---|