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


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


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.

Suggested Citation

  • Kin-Yip Ho & Albert K. Tsui & Zhaoyong Zhang, 2009. "Volatility Dynamics of the UK Business Cycle: a Multivariate Asymmetric Garch Approach," Economie Internationale, CEPII research center, issue 117, pages 31-46.
  • Handle: RePEc:cii:cepiei:2009-1tb

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    Cited by:

    1. Anna P. Sandqvist, 2015. "Dynamics of Sectoral Business Cycle Comovement," KOF Working papers 15-398, KOF Swiss Economic Institute, ETH Zurich.
    2. 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.
    3. R. Khalfaoui & M. Boutahar, 2012. "Portfolio Risk Evaluation: An Approach Based on Dynamic Conditional Correlations Models and Wavelet Multi-Resolution Analysis," Working Papers halshs-00793068, HAL.
    4. Viorica CHIRILA, 2011. "The Modelling of the Volatility of Business cycles in Romania," EuroEconomica, Danubius University of Galati, issue 30, pages 138-147, November.

    More about this item


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

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications


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