Title: Price and volatility of rare earths

Authors: Auguste Mpacko Priso; Souleymane Doumbia

Addresses: SOURCE, Paris-Saclay University, France; Open Knowledge Higher Institute (OKHI), Cameroon ' Open Knowledge Higher Institute (OKHI), Cameroon

Abstract: The purpose of this paper is to discuss results of a statistical model for volatility of rare earths prices traded at the London Stock Exchange and compare it to the volatility of other metals prices as well as that of other stock prices. Although known for centuries, rare earths have drawn particular attention interest over recent years due to their potential solution to mitigate climate change effects. These metals with exceptional characteristics are used in high-tech product manufacturing, especially those seen as alternative to the consumption of fossil fuels like car batteries. We show that the volatility of all three indexes is persistent. The volatility model which best fits the rare earths prices is a gjrGARCH(1,1) model. This is to our knowledge the first time the persistent volatility framework is applied to price of rare earths. Our work paves the way for many other applications, including volatility forecasts of rare earths price. This latter can help investors improve their decision-making process.

Keywords: metal prices; rare earths; climate change; volatility models; ARCH; GARCH models.

DOI: 10.1504/IJGEI.2024.140736

International Journal of Global Energy Issues, 2024 Vol.46 No.5, pp.436 - 453

Received: 30 Dec 2020
Accepted: 19 Apr 2022
Published online: 02 Sep 2024 *

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