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Volatility dynamics of the US business cycle: A multivariate asymmetric GARCH approach

Ho, Kin-Yip; Tsui, A K; Zhang, Z Y

Description

Most empirical investigations of the business cycles in the United States have excluded the dimension of asymmetric conditional volatility. This paper analyses the volatility dynamics of the US business cycle by comparing the performance of various multivariate generalised autoregressive conditional heteroskedasticity (GARCH) models. In particular, we propose two bivariate GARCH models to examine the evidence of volatility asymmetry and time-varying correlations concurrently, and then apply the...[Show more]

CollectionsANU Research Publications
Date published: 2009
Type: Journal article
URI: http://hdl.handle.net/1885/61100
Source: Mathematics and Computers in Simulation
DOI: 10.1016/j.matcom.2008.08.015

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