This study investigates the price volatility of metals, using 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. Second, we estimate the effects of oil price shocks on the price volatility of metals, allowing for asymmetric responses. We use daily spot prices for aluminum, copper, lead, nickel, tin, zinc, gold, silver, palladium and platinum. We find that returns have a high degree of volatility persistence before and after correcting for outliers, outliers bias the estimation of GARCH and GJR models, and removing outliers improves volatility modelling. However, Student- t-based specifications outperform outliers correction in capturing volatility. Moreover, we document inverse leverage effects for seven metals, leverage effect for copper and no leverage effects for nickel and palladium. Finally, price volatility of metals reacts differently and asymmetrically to oil price shocks.

Behmiri, N., Manera, M. (2015). The role of outliers and oil price shocks on volatility of metal prices. RESOURCES POLICY, 46(1), 139-150 [10.1016/j.resourpol.2015.09.004].

The role of outliers and oil price shocks on volatility of metal prices

MANERA, MATTEO
2015

Abstract

This study investigates the price volatility of metals, using 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. Second, we estimate the effects of oil price shocks on the price volatility of metals, allowing for asymmetric responses. We use daily spot prices for aluminum, copper, lead, nickel, tin, zinc, gold, silver, palladium and platinum. We find that returns have a high degree of volatility persistence before and after correcting for outliers, outliers bias the estimation of GARCH and GJR models, and removing outliers improves volatility modelling. However, Student- t-based specifications outperform outliers correction in capturing volatility. Moreover, we document inverse leverage effects for seven metals, leverage effect for copper and no leverage effects for nickel and palladium. Finally, price volatility of metals reacts differently and asymmetrically to oil price shocks.
Articolo in rivista - Articolo scientifico
Metal markets; volatility; GARCH-type models; outlier detection; crude oil price
English
2015
46
1
139
150
reserved
Behmiri, N., Manera, M. (2015). The role of outliers and oil price shocks on volatility of metal prices. RESOURCES POLICY, 46(1), 139-150 [10.1016/j.resourpol.2015.09.004].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/97276
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