Resumo

PEREZ RAMIREZ, Fredy Ocaris. Modelación de la volatilidad y pronóstico del precio del café. Rev. ing. univ. Medellin [online]. 2006, vol.5, n.9, pp.45-58. ISSN 1692-3324.

In this paper we can see a review or the GARCH model (heteroscedasticity conditional autoregressive generalized) and it presents some of the properties of the process and its demonstrations. Also it presents the application for the ARIMA-GARCH models, considering the price of the coffee from January 2- 2002 to April 17- 2006.   The same way it shows the most accurate prediction model to estimate the price and the expected volatility of the coffee, the target is to find the best choice to decide the sale and buy of this product in the future, looking to find the ideal strategy in the coffee business and to obtain in this way an ideal competition in a worldwide level.

Palavras-chave : GARCH; ARIMA; Heteroscedasticity; Volatility.

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