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The measurement and transmission of volatility in financial markets: evidence from metal futures markets

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dc.contributor.authorKhalifa, Ahmed Ali Abdel Alim, author
dc.contributor.authorJianakoplos, Nancy, advisor
dc.contributor.authorRamchander, Sanjay, advisor
dc.date.accessioned2024-03-13T19:53:55Z
dc.date.available2024-03-13T19:53:55Z
dc.date.issued2009
dc.description.abstractThe measurement and forecasting of asset-price volatility plays a critical role in the study of financial markets. This dissertation verifies the importance of using the integrated volatility using Fourier transformation (IVFT) measure to estimate integrated volatility efficiently. Consequently, studies of volatility that ignore intraday returns series and the IVFT measure are likely to yield misleading conclusions. The IVFT measure and the information provided by high-frequency returns are valuable to a broad range of issues in financial markets. The dissertation provides strong evidence based on the multi-chain Markov switching (MCMS) model of the interdependence, but no comovements between, the three metal markets, which is critical information for portfolio management, derivative pricing and economic policy making. The dissertation makes a comprehensive comparison of three volatility measures: daily absolute returns, cumulative intraday squared returns, and integrated volatility via Fourier transformation (IVFT). The comparisons are made using intraday futures price data for the time period 1999 through 2008 for three metal markets: gold, silver and copper, at four frequency intervals: 1 minute, 2 minutes, 5 minutes and 15 minutes. The forecasted volatility from a GARCH model is used as a baseline to evaluate the performance of the three measures of volatility. The principal findings of the study are: (A) using heteroscedastic root mean square error and loss function criteria, the IVFT measure better fits the GARCH predictions of volatility than either the daily absolute returns or the cumulative intraday squared returns measures. In addition to this, the goodness of fit of the IVFT measure to the GARCH forecast of volatility improves as the time frequency increases from 15 minutes to 1 minute. (B) Using a multi-chain Markov switching model, the study shows a spillover and interdependence between gold futures, silver futures and copper futures, but there is no comovement between the three metal futures markets during the study period. The distinguishing feature of this dissertation is providing evidence of an accurate measure of volatility using the Fourier transformation which is crucial for accurate forecasting of volatility. For risk and portfolio management, the dissertation provides useful results, including the fact that one of the three metal markets is sufficient as a hedge against inflation or reducing risk.
dc.format.mediumborn digital
dc.format.mediumdoctoral dissertations
dc.identifierETDF_Khalifa_2009_3452331.pdf
dc.identifier.urihttps://hdl.handle.net/10217/237817
dc.languageEnglish
dc.language.isoeng
dc.publisherColorado State University. Libraries
dc.relation.ispartof2000-2019
dc.rightsCopyright and other restrictions may apply. User is responsible for compliance with all applicable laws. For information about copyright law, please see https://libguides.colostate.edu/copyright.
dc.rights.licensePer the terms of a contractual agreement, all use of this item is limited to the non-commercial use of Colorado State University and its authorized users.
dc.subjectfinancial markets
dc.subjectmetal futures
dc.subjectvolatility
dc.subjectfinance
dc.subjectstudies
dc.subjectstandard deviation
dc.subjectMonte Carlo simulation
dc.subjectinvestments
dc.subjectforecasting
dc.subjecthypotheses
dc.subjectestimates
dc.subjectdissertations and theses
dc.subjectstochastic models
dc.subjectliterature reviews
dc.subjecttime series
dc.subjectexpected values
dc.subjectcalendars
dc.subjectgold
dc.subjecthypothesis testing
dc.subjectsilver
dc.subjectcopper
dc.titleThe measurement and transmission of volatility in financial markets: evidence from metal futures markets
dc.typeText
dcterms.rights.dplaThis Item is protected by copyright and/or related rights (https://rightsstatements.org/vocab/InC/1.0/). You are free to use this Item in any way that is permitted by the copyright and related rights legislation that applies to your use. For other uses you need to obtain permission from the rights-holder(s).
thesis.degree.disciplinePhilosophy
thesis.degree.grantorColorado State University
thesis.degree.levelDoctoral
thesis.degree.nameDoctor of Philosophy (Ph.D.)

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