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Volatility dynamics of the UK business cycle: A multivariate asymmetric garch approach

Ho, Kin-Yip; Tsui, A K; Zhang, Zhaoyong

Description

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...[Show more]

CollectionsANU Research Publications
Date published: 2009
Type: Journal article
URI: http://hdl.handle.net/1885/61308
Source: Economie Internationale

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