Interplay multifractal dynamics among metal commodities and US-EPU

Leonardo H.S. Fernandes, José W.L. Silva, Fernando H.A. de Araujo, Paulo Ferreira, Faheem Aslam and Benjamin Tabak

Physica A: Statistical Mechanics and its Applications, 2022, vol. 606, issue C

Abstract: This research employs the Multifractal Detrended Fluctuations Analysis (MF-DFA) and the Multifractal Detrended Cross-Correlation Analysis (MF-DCCA) to study the components of the observed multifractality considering eight metals commodities time series (Gold, Silver, Platinum, Palladium, Copper, Lead, Nickle and tin) and economic policy uncertainty (US-EPU) index time series. For both multifractal methods, we analyze the generalized Hurst exponent h(q) and the Rényi exponent τ(q), and evaluate their statistical properties, which allow us to examine separately the small-scale contributing (primarily via the negative moments q) and the large scale (via the positive moments q). Also, we calculate the multifractal spectrum f(α) and perform a fourth-degree polynomial regression fit to evaluate the complexity parameters that describe the degree of multifractality, considering the volatility time series and the volatility time series pairs. We find that these volatility time-series (α0>0.5) and these volatility time series pairs (αxy(0)>0.5) are characterized by overall persistent behavior. We discover that Gold seems more related to the other commodities than (US-EPU) index, which is relevant for the different market agents, mainly investors, which could retrieve important information from these results, for example, for diversification purposes.

Keywords: Metals commodities; US-EPU index; Multifractality; Cross-correlation; Complexity (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:606:y:2022:i:c:s0378437122006975

DOI: 10.1016/j.physa.2022.128126

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