A Study of Volatility of Select Metals Traded in the Indian Commodity Market


Commodities such as gold, silver and copper have drawn considerable attention with respect to their price volatility. The spot prices of precious metals (gold and silver) not only redirects us to review the current supply and demand condition, but also reveals the predictions of future inflation and the general business and economic environment. The commodity market is where raw or primary products are exchanged or transacted. A commodity is classified as every kind of movable property; it includes only physical products such as food, electricity, metals, etc. and excludes services – government services, investments, debt, actionable claims, money, securities, etc. The present study attempts to assess the time-varying price volatility of gold, silver and copper and the nature of the volatility process. The results indicate presence of persistence in price volatility as per the estimation outputs of GARCH (1, 1) model for silver and copper metals. On the basis of the estimated results of GARCH model, it can be concluded that returns of silver and copper metals were highly volatile as compared to returns of gold during the period January 2014 to December 2016 while considering daily returns. It can also be concluded that copper is more volatile compared to gold and silver.

Key words: ARCH, GARCH model, Volatility, Metals

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