The Modelling of the Volatility of Business cycles in Romania
AbstractThe latest research highlights the existence of the asymmetry of the volatility of business cycles. In this context, in this paper we firstly aim to test whether the volatility of business cycles in Romania is constant or not and then, according to the identified result we try to model it. For the determination of business cycles of Romania we use the index of the industrial production registered during the period January 2000 – May 2011. The estimation of the business cycles is conducted by means of the Hodrick-Prescot filter. The results obtained confirm that the volatility of business cycles of Romania is not constant and suggest the possibility of taking into account the heteroscedastic models. The estimation of the EGARCH model shows that Romania’s business cycles present an asymmetric volatility.
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Bibliographic InfoArticle provided by Danubius University of Galati in its journal Euroeconomica.
Volume (Year): (2011)
Issue (Month): 30 (November)
asymmetric volatility; EGARCH; Hodrick-Prescot filter;
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