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0111 · Sep 202419922001200920172026
1 result for “DCC-MIDAS”
On the macroeconomic fundamentals of long-term volatilities and dynamic correlations in COMEX copper futuresq-fin.ST

The study analyzes macroeconomic factors affecting copper futures volatility and long-term correlation with S&P 500.

problem Understanding the impact of macroeconomic variables on copper futures volatility and long-term correlation.
method Employed GARCH-MIDAS and DCC-MIDAS modeling frameworks to examine the influence of low-frequency macroeconomic variables on copper futures returns and long-term correlation with S&P 500.
result PPI is the most efficient macroeconomic variable impacting copper futures returns, and MIDAS filter improves model fitness and long-run relationship.
copper futuresmacroeconomic variablesGARCH-MIDASDCC-MIDASlong-term correlation
2024-09-12abs ↗pdf ↗