 Modelling volatility persistence and asymmetry: A Study on selected Indian non-ferrous metals marketsLuis Gil-Alana and Trilochan Tripathy () Resources Policy, 2014, vol. 41, issue C, 31-39 Abstract: This paper deals with the analysis of the volatility persistence and the leverage effect across six non-ferrous metals spot and futures series in India. Data for aluminium, copper, lead, nickel, zinc and tin were collected from 1st January, 2009 to 30th June, 2012. Volatility persistence was determined throughout the ARCH/GARCH class of models. The leverage effect was tested using TARCH and EGARCH models. Out of the twelve non-ferrous metals series including both spot and futures, TGARCH captures asymmetric effects in seven series and EGARCH captures leverage effect in ten series. Other long memory features of the data were also examined. Testing fractional integration our results show that the series are I(1) but the squared returns display long memory features. Keywords: Volatility persistence; Price asymmetry; Leverage effect; Long memory (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:41:y:2014:i:c:p:31-39 DOI: 10.1016/j.resourpol.2014.02.004 Access Statistics for this article Resources Policy is currently edited by R. G. Eggert More articles in Resources Policy from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.