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Asymmetric volatility of real GDP: some evidence from Canada, Japan, the United Kingdom and the United States
List of Titles
Asymmetric volatility of real GDP: some evidence from Canada, Japan, the United Kingdom and the United States
Please use this identifier to cite or link to this item: http://hdl.handle.net/1959.3/62039
- Title
- Asymmetric volatility of real GDP: some evidence from Canada, Japan, the United Kingdom and the United States
- Author(s)
- Ho, Kin-Yip; Tsui, Albert K.
- Abstract
- The recent empirical investigation of conditional volatility in real GDP growth rates of Japan, the United Kingdom, and the United States by Hamori [Jpn. World Econ. 12 (2000) 143] finds no evidence of asymmetry. This paper re-visits the issue of asymmetric volatility using a similar approach with some modifications. We find statistically significant evidence of asymmetric volatility in the real growth rates of the United States and Canada. As such, it may be premature to conclude that business cycle indicators generally do not exhibit volatility asymmetry.
- Publication type
- Journal article
- Source
- Japan and the World Economy, Vol. 15, no. 4 (2003), pp. 437-445
- Publication year
- 2003
- Keyword(s)
- Asymmetric volatility; Business cycle indicators; EGARCH model; Real GDP growth rates
- Publisher
- Elsevier
- ISSN
- 0922-1425
- Publisher URL
- http://dx.doi.org/10.1016/S0922-1425(03)00026-4
- Copyright
- Copyright © 2003 Elsevier Inc. All rights reserved.
- Peer reviewed
