How has volatility in metals markets changed?
Autor: | Michael McAleer, Clinton Watkins |
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Rok vydání: | 2008 |
Předmět: |
Numerical Analysis
Variance swap General Computer Science Applied Mathematics Implied volatility Volatility risk premium Theoretical Computer Science Modeling and Simulation Financial models with long-tailed distributions and volatility clustering Volatility swap Econometrics Forward volatility Volatility smile Economics Volatility (finance) |
Zdroj: | Mathematics and Computers in Simulation. 78:237-249 |
ISSN: | 0378-4754 |
DOI: | 10.1016/j.matcom.2008.01.015 |
Popis: | Within the industrial metals industry, there has been a great deal of interest surrounding trends in metals market volatility over time. This paper uses a rolling AR(1)-GARCH(1,1) model to estimate and forecast the volatility processes for daily returns on the futures prices of two important non-ferrous metals, namely aluminium and copper. The rolling models are used to examine how the processes driving aluminium and copper returns volatility have evolved over a long sample. The variation over time seen in the volatility processes, as modelled by GARCH, suggest that, while volatility in returns has not necessarily increased, the conditional volatility process in metals markets is itself time-varying when analysed over a long horizon. |
Databáze: | OpenAIRE |
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