Measuring Asymmetry and Persistence in Conditional Volatility in Real Output : Evidence from Three East Asian Tigers Using a Multivariate GARCH approach
AbstractWe search for evidence of conditional volatility in the quarterly real GDP growth rates of three East Asian tigers : Singapore, Hong Kong and Taiwan. The widely accepted exponential GARCH-type model is used to capture the existence of asymmetric volatility and the potential structural break points in the volatility. We find evidence of asymmetry and persistence in the volatility of GDP growth rates. It is noted that the identified structural breakpoints of volatility correspond reasonably well to the historical economic and political events in these economies. Policy implications are discussed.
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Bibliographic InfoPaper provided by East Asian Bureau of Economic Research in its series Trade Working Papers with number 22760.
Date of creation: Jan 2009
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East Asia; Real Output; GARCH; structural changes; asymmetric volatility;
Other versions of this item:
- Vu Thanh Hai & Albert K. Tsui & Zhaoyong Zhang, 2013. "Measuring asymmetry and persistence in conditional volatility in real output: evidence from three East Asian tigers using a multivariate GARCH approach," Applied Economics, Taylor & Francis Journals, vol. 45(20), pages 2909-2914, July.
- Vu Thanh Hai & Albert K. Tsui & Zhaoyong Zhang, 2009. "Measuring Asymmetry and Persistence in Conditional Volatility in Real Output: Evidence from Three East Asian Tigers Using a Multivariate GARCH approach," SCAPE Policy Research Working Paper Series 0904, National University of Singapore, Department of Economics, SCAPE.
- F14 - International Economics - - Trade - - - Empirical Studies of Trade
- F31 - International Economics - - International Finance - - - Foreign Exchange
- P21 - Economic Systems - - Socialist Systems and Transition Economies - - - Planning, Coordination, and Reform
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