Modeling Copper Prices
14 Pages Posted: 11 May 2011 Last revised: 18 Jun 2011
Date Written: May 4, 2010
The purpose of this paper is to examine the empirical behavior of copper spot prices in London Metal Exchange. Based on the particularities of the copper, various continuous processes are used. We simulate one, two and three factors stochastic processes using Monte Carlo simulation technique in and out of the sample of best model fitting. Simulations show that a class of stochastic volatility model has a great capacity to forecast the current copper prices.
Keywords: Copper, Stochastic process, Monte Carlo Simulation
JEL Classification: G12, G17
Suggested Citation: Suggested Citation