Essays about: "copper price volatility"

Found 2 essays containing the words copper price volatility.

1. 1. Volatility of copper prices and the effect of real interest rate changes : does the theory of storage explain the volatility of copper spot and futures prices?

   University essay from SLU/Dept. of Economics

   Author : Moa Duvhammar; [2018]
   Keywords : theory of storage; copper price volatility; futures curve; conditional variance; GARCH;

   Abstract : The purpose of this thesis is to determine if the predictions of the theory of storage can explain the volatility of copper prices during the past two decades. The theory predicts that decreasing interest rates should reduce the volatility of commodity prices by encouraging the smoothing of short-run price swings caused by temporary shocks to supply and demand. READ MORE

3. 2. Modeling and Forecasting Volatility in Copper Price Returns with GARCH Models

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Dominice Goodwin; [2012]
   Keywords : GARCH 1; 1 ; GJR-GARCH 1; QGARCH 1; forecasting volatility; Copper; Business and Economics;

   Abstract : This thesis offers a study on how well the standard GARCH(1,1) model, the GJR-GARCH(1,1) model and the QGARCH(1,1) model, were able to model (in-sample) and forecast (out-of-sample) the volatility of copper spot price returns in four equally large subsamples within the period July 21, 1993 to 22 Mars, 2012. The results shows that the GARCH models' ability to model the conditional variance (in-sample) was highly satisfactory for the three subsamples in which there was found significant presence of ARCH effects. READ MORE