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O Efeito das Crises Econômicas Mundiais na Volatilidade da Produção de Automóveis no Brasil

2016; Faculdade Santo Agostinho; Volume: 13; Issue: 6 Linguagem: Inglês

10.12819/2016.13.6.5

2317-2983

Letícia Marasca, Adriano Mendonça Souza,

Agricultural and Food Sciences

Brazil is featured on consumption and automobiles production, being this production subject to economic country's performance.This study aims to fit an ARIMA linear model to forecast the Series National Production of Automobiles behavior and a non-linear model of general ARCH class to understand the volatility's effects of the series, helping Brazilian automobiles manufacturers on planning their production.Data collection was monthly and they were taken from Associação Nacional dos Fabricantes de Veículos Automotores -ANFAVEA's website, correspond to the national production of automobiles in the period from January 1957 to February 2016, and compose a Historical Series National Production of Automobiles, with 710 observations.The methodology is the ARIMA modeling and heteroskedastic models ARCH.Based on the adjusted model, it was possible the forecast's realization in sample.Series's generator process is an autoregressive of order 1, with a difference needed to become the stationary series, seasonal effect on the lag 12, and heterocedasticity of order 1.