Volatility Dynamics of the UK Business Cycle: A Multivariate Asymmetric GARCH ApproachECU Publications Pre. 2011
Document TypeJournal Article
FacultyBusiness and Law
SchoolAccounting, Finance and Economics
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AbstractThis paper analyses the volatility dynamics of the UK business cycle by proposing four new multivariate asymmetric GARCH models that not only capture asymmetric volatility but also time-varying correlations. The results indicate the existence of asymmetric volatility, but it is sensitive to the structure of the conditional variance. It is also found that correlations and volatility are usually higher around the recession phase of the UK economy. These have important implications for macroeconomic policy and forecasting for business cycle.
Citation InformationKin-Yip Ho, Albert K. Tsui and Zhaoyong Zhang. "Volatility Dynamics of the UK Business Cycle: A Multivariate Asymmetric GARCH Approach" (2009)
Available at: http://works.bepress.com/zhaoyong_zhang/6/