Volatility and risk models on the metal market
Volatility and risk models on the metal market

Summary/Abstract: Steel industry is currently one of the most important parts in the structure of economy sectors both in developed and emerging countries. Therefore, it may be identified as a determinant of economic development of the country. Economic and financial crises have a significant influence on the economic activity of the emerging markets. Moreover, instability and fluctuations of GDP and other economic indicators have a significant impact on the demand of commodities, including ones related to the steel market. The aim of this article is to present some volatility models and risk analysis on the example of investments realized on the non-ferrous metal marker. The motivation to run this research is low popularity of empirical analysis in this field. Considering volatility analysis the GARCH models are presented (based on non-classical probability distributions). Within risk measures the value-at-risk approach is conducted. Initial results indicate that due to some features of time series of the metal market returns the use of classical models of volatility and risk measure is not very effective.

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