Economics at your fingertips  

Long Memory and FIGARCH Models for Daily and High Frequency Commodity Prices

Richard Baillie (), Young-Wook Han, Robert Myers () and Jeongseok Song
Additional contact information
Young-Wook Han: Hallym University, Chunchon
Jeongseok Song: Chung-Ang University, Seoul

No 594, Working Papers from Queen Mary University of London, School of Economics and Finance

Abstract: Daily futures returns on six important commodities are found to be well described as FIGARCH fractionally integrated volatility processes, with small departures from the martingale in mean property. The paper also analyzes several years of high frequency intra day commodity futures returns and finds very similar long memory in volatility features at this higher frequency level. Semi parametric Local Whittle estimation of the long memory parameter supports the conclusions. Estimating the long memory parameter across many different data sampling frequencies provides consistent estimates of the long memory parameter, suggesting that the series are self-similar. The results have important implications for future empirical work using commodity price and returns data.

Keywords: Commodity returns; Futures markets; Long memory; FIGARCH (search for similar items in EconPapers)
JEL-codes: C4 C22 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mst
Date: 2007-04
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (41) Track citations by RSS feed

Downloads: (external link) (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this paper

More papers in Working Papers from Queen Mary University of London, School of Economics and Finance Contact information at EDIRC.
Bibliographic data for series maintained by Nicholas Owen ().

Page updated 2019-09-16
Handle: RePEc:qmw:qmwecw:wp594