Análise da base dos preços de milho para as principais praças de negociação em Minas Gerais por modelos de séries temporais

Abstract

Brazil has become one of the leading producers and exporters of corn, which is one of the most important economic activities in the national agricultural sector. Corn is a cereal with high nutritional value, widely used as a raw material in various industry segments, such as the food sector, agricultural production, and even in the manufacture of renewable fuels, such as ethanol. Understanding how the price of this commodity behaves is essential for trading this commodity, as it enables the maximization of revenues and the reduction of risks for both buyers and sellers. In the derivatives market, the basis refers to the difference between the price of the commodity in the physical market and its price in the futures market. The weakening or strengthening of this basis may indicate scenarios that are more or less favorable to the trajectory of the product’s prices. The weakening or strengthening of this basis may indicate scenarios that are more or less favorable to the product’s price trajectory. Given this, this study aims to adjust time series models to analyze the volatility of the corn price basis in the state of Minas Gerais, comparing this variation in the different physical markets in this region. The Autoregressive (AR) model and the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model were used. The data used corresponds to the daily prices of corn in physical markets in different locations in Minas Gerais, as well as futures market prices obtained from B3, covering the period from July 16, 2018, to December 31, 2024. The adjusted models performed well, allowing predictions to be made for a period of 7 and 15 days in each market analyzed. The modeling showed that the corn base in Minas Gerais has persistent volatility, with shocks extending over several periods, allowing for better prediction of variations and supporting more secure marketing decisions. Based on the evaluation criteria applied, it was concluded that the models were adequate, adjusting well to the daily base data for corn in the markets of the state of Minas Gerais during the period studied.