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Forecasting the prices of non-ferrous metals with GARCH models & volatility spillover from world oil market to non-ferrous metal markets
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Date
2010
Author
Bulut, Burçak
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In the first part of this thesis the prices of six non-ferrous metals (aluminum, copper, lead, nickel, tin, and zinc) are used to assess the forecasting performance of GARCH models. We find that the forecasting performances of GARCH, EGARCH, and TGARCH models are similar. However, we suggest the use of the GARCH model because it is more parsimonious and has a slightly better statistical performance than the other two. In the second part, the prices of six non-ferrous metals and the price of crude oil are used to examine the dynamic links between oil and metal returns by using the BEKK specification of the multivariate GARCH model and the Granger causality-in-variance tests. Results of our study agree with the previous studies in that the crude oil market volatility leads all non-ferrous metal markets. In order to move as far away from the effects of 9/11, daily data for the period December 12, 2003 – December 15, 2008 is used for the data analysis part of the thesis.
Subject Keywords
Business cycles.
,
Business cycles.
URI
http://etd.lib.metu.edu.tr/upload/12612393/index.pdf
https://hdl.handle.net/11511/19949
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Graduate School of Social Sciences, Thesis
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B. Bulut, “Forecasting the prices of non-ferrous metals with GARCH models & volatility spillover from world oil market to non-ferrous metal markets,” M.B.A. - Master of Business Administration, Middle East Technical University, 2010.
