The Role of Outliers and Oil Price Shocks on Volatility of Metal Prices

Arbeitspapier

This study investigates the price volatility of metals, using the GARCH and GJR models. First we examine the persistence of volatility and the leverage effect across metal markets taking into account the presence of outliers, and second we estimate the effects of oil price shocks on the price volatility of metals, allowing for the asymmetric responses. We use daily spot prices for the selected metals, including aluminum, copper, lead, nickel, tin, zinc, gold, silver, palladium and platinum. The main findings indicate that, returns show a high degree of volatility persistence before and after correcting outliers, outliers bias the parameters estimation of the GARCH-type models, and removing outliers improves the performance of models in capturing volatility. However in a comparison, Student-t distribution outperforms the approach of correcting outliers in capturing volatility. Moreover, we find the existence of inverse leverage effect for seven metals, the leverage effect for copper and no leverage effect for nickel and palladium. Finally, price volatility of metals differently reacts to oil price shocks and there is an asymmetric reaction of volatility to oil price shocks for seven metals.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Nota di Lavoro ; No. 77.2015

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Contingent Pricing; Futures Pricing; option pricing
• Thema: Metals ; Commodities ; Volatility ; Oil Price ; Outliers

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Behmiri, Niaz Bashiri ; Manera, Matteo
• Ereignis: Veröffentlichung
• (wer): Fondazione Eni Enrico Mattei (FEEM)
• (wo): Milano
• (wann): 2015

Weitere Informationen

• Handle: http://hdl.handle.net/10419/130259
• Letzte Aktualisierung: 10.03.2025, 11:41 MEZ