Data for: The impact of COVID-19 on the Volatility of Copper Futures
Published: 12 June 2023| Version 2 | DOI: 10.17632/fm6y2szjhv.2
Contributors:
Oscar Melo-Vega-Angeles, Bryan Stephano Chuquillanqui LichardoDescription
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.
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Institutions
- Universidad de Lima
Categories
Commodity Market