Asymmetric Momentum Threshold Effect of Copper Futures Returns on Spot Returns Volatility in London Metals Exchange under High Volatility ()
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.
Share and Cite:
Goo, Y. and Chen, C. (2020) Asymmetric Momentum Threshold Effect of Copper Futures Returns on Spot Returns Volatility in London Metals Exchange under High Volatility.
Modern Economy,
11, 51-61. doi:
10.4236/me.2020.111006.