Emerging Economies: Volatility Prediction in the Metal Futures Markets Using GARCH Model
摘要
This paper aims to study the volatility and its prediction using the GARCH (1,1) model in the metal futures of two emerging economies, India and China. The Metals considered for the study are aluminium, copper, lead, nickel, zinc, gold, and silver. This study uses daily data from January 2016 to May 2021 from the Shanghai Futures Exchange (SHFE) and Multi Commodity Exchange (MCX). The study's findings suggest the presence of short-run, long-run, and overall persistence of shocks for all the metals.