Data for: COVID-19 impact on copper futures volatility
Published: 19 April 2023| Version 1 | DOI: 10.17632/fm6y2szjhv.1
The daily return is defined as R_t=ln(P_t/P_(t-1) ), where P_t and P_(t-1) are the closing prices at day t and t-1, respectively. According to (WHO 2020), March 11, 2020 is the day which the global COVID-19 outbreak is considered as a pandemic. We define the dummy variable D = 0 before this date and D = 1 after that. The daily closing price for COMEX’s copper from January 02, 2018, to December 30, 2022, which was extracted from Nasdaq.
Universidad de Lima