The Impact of COVID-19 on the Volatility of Copper Futures
The COVID-19 pandemic has introduced significant uncertainty across various economic sectors, most notably in the industrial sector due to the high volatility in copper futures markets. These markets play a crucial role in the construction, electrical networks, electronic products, and industrial ma...
| Autores: | , |
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| Tipo de recurso: | artículo |
| Fecha de publicación: | 2023 |
| País: | Perú |
| Institución: | Universidad de Lima |
| Repositorio: | ULIMA-Institucional |
| Idioma: | inglés |
| OAI Identifier: | oai:repositorio.ulima.edu.pe:20.500.12724/18755 |
| Acceso en línea: | https://hdl.handle.net/20.500.12724/18755 https://doi.org/10.3390/economies11070200 |
| Access Level: | acceso abierto |
| Palabra clave: | COVID-19 (Disease) Copper Copper industry and trade Futures market Commodities Commodity futures https://purl.org/pe-repo/ocde/ford#5.02.04 |
| Sumario: | The COVID-19 pandemic has introduced significant uncertainty across various economic sectors, most notably in the industrial sector due to the high volatility in copper futures markets. These markets play a crucial role in the construction, electrical networks, electronic products, and industrial machinery industries. Therefore, the aim of this study is to evaluate the impact of the COVID-19 pandemic on the volatility of copper futures returns from 2 January 2018 to 30 December 2022 using an extended ARMA(m,n)–GARCH(p,q) framework. According to the results, the occurrence of the pandemic nearly doubled the long-run equilibrium volatility of returns compared to the values obtained in the pre-pandemic period. Hence, we conclude that the COVID-19 pandemic has a significant influence on the volatility in the copper futures market. |
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