Abstract
This paper discusses the asymmetric momentum threshold effect of copper futures returns on spot returns volatility in the London Metal Exchange. Referring the Threshold Autoregressive (TAR) and Momentum Threshold Autoregressive (MTAR) models, this study utilizes a Hybrid MTAR-GARCH model to test the asymmetric momentum threshold effects of LME copper futures returns on spot returns volatility. It is revealed that there are indeed asymmetric momentum threshold effects of LME copper futures returns on spot returns volatility. This finding would be beneficial to financial decision-making concerning copper price hedging, arbitrage and investment amidst high volatility market conditions.
Highlights
Copper is a malleable metal with high thermal and electrical conductivity
This paper discusses the asymmetric momentum threshold effect of copper futures returns on spot returns volatility in the London Metal Exchange
Referring the Threshold Autoregressive (TAR) and Momentum Threshold Autoregressive (MTAR) models, this study utilizes a Hybrid MTAR-GARCH model to test the asymmetric momentum threshold effects of London Metal Exchange (LME) copper futures returns on spot returns volatility
Summary
Copper is a malleable metal with high thermal and electrical conductivity. It is widely used in infrastructure projects such as power electronics, architecture and transportation. The copper market has become an investment instrument and entity for related industries and financial professionals, and the impact of copper price fluctuations on the global economy is often discussed.
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