Volatility Dynamics of the UK Business Cycle: a Multivariate Asymmetric Garch Approach
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.
Volume (Year): (2009)
Issue (Month): 117 ()
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