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dc.contributor.authorTodorova, Neda
dc.date.accessioned2018-11-13T03:21:27Z
dc.date.available2018-11-13T03:21:27Z
dc.date.issued2015
dc.identifier.issn0264-9993
dc.identifier.doi10.1016/j.econmod.2015.07.005
dc.identifier.urihttp://hdl.handle.net/10072/102458
dc.description.abstractThis 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.
dc.description.peerreviewedYes
dc.languageEnglish
dc.publisherElsevier BV
dc.publisher.placeNetherlands
dc.relation.ispartofpagefrom1
dc.relation.ispartofpageto12
dc.relation.ispartofjournalEconomic Modelling
dc.relation.ispartofvolume51
dc.subject.fieldofresearchEconometrics not elsewhere classified
dc.subject.fieldofresearchApplied Economics
dc.subject.fieldofresearchEconometrics
dc.subject.fieldofresearchBanking, Finance and Investment
dc.subject.fieldofresearchcode140399
dc.subject.fieldofresearchcode1402
dc.subject.fieldofresearchcode1403
dc.subject.fieldofresearchcode1502
dc.titleThe course of realized volatility in the LME non-ferrous metal market
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
gro.facultyGriffith Business School, Department of Accounting, Finance and Economics
gro.hasfulltextNo Full Text
gro.griffith.authorTodorova, Neda


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