metal price series is investigated, as well as time-varying volatility. The results demonstrate that allowing for jumps and … time-varying volatility provides statistically important improvements in the modelling or prices, relative to GBM. These … complex processes contributed to the fatness of the tails in the distribution of heavy metal price returns. …

persistence of volatility and the leverage effect across metal markets taking into account the presence of outliers, and second we …This study investigates the price volatility of metals, using the GARCH and GJR models. First we examine the … estimate the effects of oil price shocks on the price volatility of metals, allowing for the asymmetric responses. We use daily …