The Impact of COVID-19 on the Volatility of Copper Futures

• Autores: Melo-Vega-Angeles, Oscar, Chuquillanqui Lichardo, Bryan Stephano
• Formato: artículo
• Fecha de Publicación: 2023
• Institución: Universidad de Lima
• Repositorio: ULIMA-Institucional
• Lenguaje: inglés
• OAI Identifier: oai:repositorio.ulima.edu.pe:20.500.12724/18755
• Enlace del recurso: https://hdl.handle.net/20.500.12724/18755; https://doi.org/10.3390/economies11070200
• Nivel de acceso: acceso abierto
• Materia: COVID-19 (Disease); Copper; Copper industry and trade; Futures market; Commodities; Commodity futures; https://purl.org/pe-repo/ocde/ford#5.02.04

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.