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Volatility Dynamics of the UK Business Cycle: a Multivariate Asymmetric Garch Approach

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  • Kin-Yip Ho
  • Albert K. Tsui
  • Zhaoyong Zhang

Abstract

This paper analyses thé volatility dynamics of thé UK business cycle by proposing four new multivariate asymmetric GARCH models that not only capture asymmetric volatility but aso time-varying corrélations. 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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Bibliographic Info

Article provided by CEPII research center in its journal Economie Internationale.

Volume (Year): (2009)
Issue (Month): 117 ()
Pages: 31-46

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Handle: RePEc:cii:cepiei:2009-1tb

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Keywords: Business cycle asymmetries; constant correlations; multivariate asymmetric GARCH; time-varying correlations;

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Citations

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Cited by:
  1. Almeida, Pedro Cameira de & Fuinhas, José Alberto & Marques, António Cardoso, 2011. "A assimetria dos ciclos económicos: Evidência internacional usando o teste triples
    [The asymmetry of business cycles: International evidence using triples test]
    ," MPRA Paper 35208, University Library of Munich, Germany.
  2. Rabeh Khalfaoui & Mohammed Boutahar, 2012. "Portfolio Risk Evaluation An Approach Based on Dynamic Conditional Correlations Models and Wavelet Multi-Resolution Analysis," AMSE Working Papers 1208, Aix-Marseille School of Economics, Marseille, France.

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