Chan, Wing Hong; Young, Denise - Department of Economics, University of Alberta - 2009
frequent, are still quite common in copper (and other metal) markets, this is a potential shortcoming of current models. More …, along with a regime-specific GARCH process for the conditional variance. This model is applied to daily copper futures … jump size. In some respects, a Regime Switching GARCH-Jump Model performs well when applied to the copper returns data. The …