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Article
Volatility Dynamics of the UK Business Cycle: A Multivariate Asymmetric GARCH Approach
ECU Publications Pre. 2011
  • Kin-Yip Ho
  • Albert K. Tsui
  • Zhaoyong Zhang, Edith Cowan University
Publication Date
1-1-2009
Document Type
Journal Article
Faculty
Business and Law
School
Accounting, Finance and Economics
RAS ID
8215
Comments

Originally published as: Ho, K. Y., Tsui, A. K., & Zhang, Z. (2009). VOLATILITY DYNAMICS OF THE UK BUSINESS CYCLE: Amultivariate ASYMMETRIC GARCH APPROACH. Économie internationale, 117, 31-46. Original article available here

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Abstract
This 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.
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Citation Information
Kin-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/