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  • The course of realized volatility in the LME non-ferrous metal market

    Author(s)
    Todorova, Neda
    Griffith University Author(s)
    Todorova, Neda
    Year published
    2015
    Metadata
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    Abstract
    This study analyzes the volatility of LME futures contracts on aluminum, copper, lead, nickel and zinc using high-frequency data. The dynamics of realized volatility is studied over the period from January 2004 to September 2012 and is shown to be well captured with a rolling HAR-GARCH model. An increasing importance of short-term volatility components is evident across all metals in the aftermath of the global financial crisis and the related sharp decline in industrial metal prices. The heavier impact of short-term volatility corresponds consistently to a decreasing persistence of the volatility of realized volatility. In ...
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    This study analyzes the volatility of LME futures contracts on aluminum, copper, lead, nickel and zinc using high-frequency data. The dynamics of realized volatility is studied over the period from January 2004 to September 2012 and is shown to be well captured with a rolling HAR-GARCH model. An increasing importance of short-term volatility components is evident across all metals in the aftermath of the global financial crisis and the related sharp decline in industrial metal prices. The heavier impact of short-term volatility corresponds consistently to a decreasing persistence of the volatility of realized volatility. In terms of predictive accuracy, even though leverage effects or GARCH-terms related to the volatility of realized volatility are characterized for the most part by significant in-sample parameters, the plain HAR model cannot be consistently outperformed by explicitly accounting for these stylized facts.
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    Journal Title
    Economic Modelling
    Volume
    51
    DOI
    https://doi.org/10.1016/j.econmod.2015.07.005
    Subject
    Investment and risk management
    Publication URI
    http://hdl.handle.net/10072/102458
    Collection
    • Journal articles

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