Analysis of price behavior patterns for revenue projections: statistical tests of a copper price time series

Marcia Athayde Matias, Cesar Augusto Tiburcio Silva and Leonardo Vieira
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Marcia Athayde Matias: University of Brasília
Cesar Augusto Tiburcio Silva: University of Brasília
Leonardo Vieira: University of Brasília

Brazilian Business Review, 2005, vol. 2, issue 2, 108-123

Abstract: In analyzing the projected cash flow of an investment, especially when the main product is a commodity, defining future revenue as a function of the price behavior of this commodity is a widely debated question among academics and financial analysts. This study carries out econometric evaluations based on a historical copper-price series, aiming to verify whether these prices follow some behavior pattern already reported in the literature, especially mean reversion and geometric Brownian motion (GBM). Tests were performed for stationarity, autocorrelation, normality and linearity. These results indicate that copper prices in the interval studied have not followed any identified behavior pattern, suggesting that the models normally used in financial projections have a weak capacity to forecast future copper prices.

Keywords: prices; commodity; behavior patterns; copper (search for similar items in EconPapers)
Date: 2005
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Persistent link: https://EconPapers.repec.org/RePEc:bbz:fcpbbr:v:2:y:2005:i:2:p:108-123

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