کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1140282 | 1489434 | 2008 | 13 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
How has volatility in metals markets changed?
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موضوعات مرتبط
مهندسی و علوم پایه
سایر رشته های مهندسی
کنترل و سیستم های مهندسی
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Mathematics and Computers in Simulation - Volume 78, Issues 2â3, July 2008, Pages 237-249
Journal: Mathematics and Computers in Simulation - Volume 78, Issues 2â3, July 2008, Pages 237-249
نویسندگان
Clinton Watkins, Michael McAleer,