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Regime-dependent scaling properties in zinc futures markets: Evidence from Markov-switching and Detrended Fluctuation Analysis
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DOI：10.1016/j.physa.2026.131806.png)
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Abstract
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• Both regimes scale near-random-walk ( αˆ≈0.5 ), not supercritical. • Volatility is long-range persistent ( αˆvol=0.62 ), above random walk. • COVID-19 cut crisis frequency from 24.1% to 5.5%, exposing model sensitivity. • EWMA and GARCH(1,1) VaR hold valid coverage over 3088 rolling forecasts. • Dual return–volatility DFA framework bridges econophysics and econometrics.
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