Asymmetric Momentum Threshold Effect of Copper Futures Returns on Spot Returns Volatility in London Metals Exchange under High Volatility
Open Access
- 1 January 2020
- journal article
- research article
- Published by Scientific Research Publishing, Inc. in Modern Economy
- Vol. 11 (01), 51-61
- https://doi.org/10.4236/me.2020.111006
Abstract
This paper discusses the asymmetric momentum threshold effect of copper futures returns on spot returns volatility in the London Metal Exchange. Referring the Threshold Autoregressive (TAR) and Momentum Threshold Autoregressive (MTAR) models, this study utilizes a Hybrid MTAR-GARCH model to test the asymmetric momentum threshold effects of LME copper futures returns on spot returns volatility. It is revealed that there are indeed asymmetric momentum threshold effects of LME copper futures returns on spot returns volatility. This finding would be beneficial to financial decision-making concerning copper price hedging, arbitrage and investment amidst high volatility market conditions.Keywords
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