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 effect 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.
Modelling volatility persistence and asymmetry. A study on selected non-ferrous metals in Indian market
Luis Alberiko Gil-Alaña
Resources Policy Vol.41