Modelling volatility persistence and asymmetry: a study on selected Indian non-ferrous metals markets

Luis Gil-Alana and Trilochan Tripathy

No 11/2013, NCID Working Papers from Navarra Center for International Development, University of Navarra

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 effects 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)
JEL-codes: G12 G13 (search for similar items in EconPapers)
Pages: 25 pages
Date: 2013-12
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Journal Article: Modelling volatility persistence and asymmetry: A Study on selected Indian non-ferrous metals markets (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:nva:unnvaa:wp11-2013

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