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Erscheinungsjahr: 
2023
Quellenangabe: 
[Journal:] Economies [ISSN:] 2227-7099 [Volume:] 11 [Issue:] 7 [Article No.:] 200 [Year:] 2023 [Pages:] 1-15
Verlag: 
MDPI, Basel
Zusammenfassung: 
The COVID-19 pandemic has introduced significant uncertainty across various economic sectors, most notably in the industrial sector due to the high volatility in copper futures markets. These markets play a crucial role in the construction, electrical networks, electronic products, and industrial machinery industries. Therefore, the aim of this study is to evaluate the impact of the COVID-19 pandemic on the volatility of copper futures returns from 2 January 2018 to 30 December 2022 using an extended ARMA(m,n)-GARCH(p,q) framework. According to the results, the occurrence of the pandemic nearly doubled the long-run equilibrium volatility of returns compared to the values obtained in the pre-pandemic period. Hence, we conclude that the COVID-19 pandemic has a significant influence on the volatility in the copper futures market.
Schlagwörter: 
COVID-19
pandemic
copper futures
GARCH model
financial econometrics
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