Modeling Copper Price: A Regime-Switching Approach

Javier García-Cicco and Roque Montero ()
Authors registered in the RePEc Author Service: Javier Garcia Cicco

Working Papers Central Bank of Chile from Central Bank of Chile

Abstract: This paper explores the virtues of Markov-Switching models to characterize the behavior of copper price. In particular, we study the performance of several univariate specifications of this type of models, both in and out of sample, comparing them also with constant parameter models such as ARMA and GARCH. The main finding is that allowing for a regime-switching variance in the error term is most relevant in explaining the behavior of this price.

Date: 2011-02
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Citations: View citations in EconPapers (2)

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