 Power ARCH Modelling of Commodity Futures Data on the London Metal ExchangeM. McKenzie, H. Michell, Robert Brooks and Robert Faff Working Papers from Melbourne - Centre in Finance Abstract: A recent addition to the ARCH family of econometric models was introduced by Ding, Granger and Engle (1993) wherein the power term by which the data is transformed was estimated within the model rather than being imposed by the researcher. This paper considers the ability of the Power GARCH class of models to capture the stylised features of volatility in a range of commodity futures prices traded on the London Metals Exchange. The results of this procedure suggest that asymmetric effects are not generally present in the LME futures data. Further, unlike stock market data which is well described by the model, futures data is not as well described by the APGARCH model. Nested within the APGARCH model are several other models from the ARCH family. This paper uses the standard log likelihood procedure to conduct pairwise comparisons of the relative merits of each and the results suggest that it is the Taylor GARCH model which performs best. Keywords: ECONOMETRIC MODELS; EVALUATION; COMMODITY PRICES (search for similar items in EconPapers) There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:fth:melrfi:98-3 Access Statistics for this paper More papers in Working Papers from Melbourne - Centre in Finance Centre in Finance, Department of Economics and Finance, Faculty of Business, RMIT GPO Box 2476V Melbourne, Vic 3000 Australia.. Contact information at EDIRC. |
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