Volatility persistence in metal prices.

Abstract

This article deals with the analysis of volatility persistence in a group of metal prices, namely gold, silver, copper, platinum, aluminium, palladium, lead, zinc and tin, using monthly data from January 1994 to February 2023. Applying fractional integration techniques, the findings show that all series are highly persistent, although the prices for Gold and Silver display a limited mean reversion. The volatility was approximated by the absolute and squared returns and the results show that in the case of the annual difference returns, the series are persistent and the evidence of mean reversion is only observed for Gold and Silver. In the case of monthly differences, the hypothesis of short memory (d = 0) behavior cannot be rejected in all cases. For the absolute returns, the values are all positive, denoting a long memory ranging from 0.14 for Gold to 0.18 for Silver. For the squared returns, the values are slightly smaller but positive, ranging from 0.11 (Gold) to 0.16 (Aluminum and Palladium). The supply-side economic policy should be intensified in the case of the most volatile metals.