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- W2214346865 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." @default.
- W2214346865 created "2016-06-24" @default.
- W2214346865 creator A5077302800 @default.
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- W2214346865 date "2015-12-01" @default.
- W2214346865 modified "2023-10-16" @default.
- W2214346865 title "The role of outliers and oil price shocks on volatility of metal prices" @default.
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- W2214346865 doi "https://doi.org/10.1016/j.resourpol.2015.09.004" @default.
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