Watkins, Clinton; McAleer, Michael - In: Mathematics and Computers in Simulation (MATCOM) 78 (2008) 2, pp. 237-249
Within the industrial metals industry, there has been a great deal of interest surrounding trends in metals market volatility over time. This paper uses a rolling AR(1)-GARCH(1,1) model to estimate and forecast the volatility processes for daily returns on the futures prices of two important...