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| Hauptverfasser: | , |
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| Format: | Preprint |
| Veröffentlicht: |
2024
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| Schlagworte: | |
| Online-Zugang: | https://arxiv.org/abs/2409.08355 |
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| _version_ | 1866910602047258624 |
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| author | Wang, Zian Li, Xinshu |
| author_facet | Wang, Zian Li, Xinshu |
| contents | This paper examines the influence of low-frequency macroeconomic variables on the high-frequency returns of copper futures and the long-term correlation with the S&P 500 index, employing GARCH-MIDAS and DCC-MIDAS modeling frameworks. The estimated results of GARCH-MIDAS show that realized volatility (RV), level of interest rates (IR), industrial production (IP) and producer price index (PPI), volatility of Slope, PPI, consumer sentiment index (CSI), and dollar index (DI) have significant impacts on Copper futures returns, among which PPI is the most efficient macroeconomic variable. From comparison among DCC-GARCH and DCC-MIDAS model, the added MIDAS filter of PPI improves the model fitness and have better performance than RV in effecting the long-run relationship between Copper futures and S&P 500. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2409_08355 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | On the macroeconomic fundamentals of long-term volatilities and dynamic correlations in COMEX copper futures Wang, Zian Li, Xinshu Statistical Finance This paper examines the influence of low-frequency macroeconomic variables on the high-frequency returns of copper futures and the long-term correlation with the S&P 500 index, employing GARCH-MIDAS and DCC-MIDAS modeling frameworks. The estimated results of GARCH-MIDAS show that realized volatility (RV), level of interest rates (IR), industrial production (IP) and producer price index (PPI), volatility of Slope, PPI, consumer sentiment index (CSI), and dollar index (DI) have significant impacts on Copper futures returns, among which PPI is the most efficient macroeconomic variable. From comparison among DCC-GARCH and DCC-MIDAS model, the added MIDAS filter of PPI improves the model fitness and have better performance than RV in effecting the long-run relationship between Copper futures and S&P 500. |
| title | On the macroeconomic fundamentals of long-term volatilities and dynamic correlations in COMEX copper futures |
| topic | Statistical Finance |
| url | https://arxiv.org/abs/2409.08355 |