Tiago Silveira Gontijo, Alexandre de Cássio Rodrigues, Andressa Amaral de Azevedo


Analyze the Aluminum, Copper, Nickel and Zinc behavior in terms of price variation, has a notable relevance. In order to capture the conditional volatility terms and identify its reaction mechanism and persistence against shocks, the volatility asymmetry and the leverage effect it was estimated the GARCH, TARCH and EGARCH. The sum of the reaction coefficients (ARCH) with the volatility persistence coefficient (GARCH), resulted in values close to 1.0 to all the commodities, indicating that volatility shocks in prices will last for a long time. According to the TARCH results it is possible to see that the conditional variance it is not asymmetric to Aluminum and Copper. As it is possible to verify that τ it is statistically different from 0 to Nickel and Zinc, so, they have an asymmetric conditional variance. Positive shocks in Nickel and Zinc prices imply a lower volatility in comparison with negative shocks with same magnitude. Specifically to the EGARCH obtained results it possible to perceive that the Aluminum and Copper had a τ coefficient not statistically different from 0, so is does not exist asymmetry in volatility, corroborating the obtained results by the TARCH model. The Nickel and Zinc commodities presented a τ coefficient statistically different from 0 showing an asymmetric conditional variance. Accordingly, exists a different impact um by negative and positive shocks on volatility. Finally, it was not possible to verify the leverage effect in the analyzed commodities.

Palabras clave

volatility; prices; non-ferrous metals

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