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Measuring Asymmetry and Persistence in Conditional Volatility in Real Output : Evidence from Three East Asian Tigers Using a Multivariate GARCH approach

Author

Listed:
  • Vu Thanh Hai

    (Singapore Centre for Applied and Policy Economics)

  • Albert K. Tsuia
  • Zhaoyong Zhang

Abstract

We 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.

Suggested Citation

  • Vu Thanh Hai & Albert K. Tsuia & Zhaoyong Zhang, 2009. "Measuring Asymmetry and Persistence in Conditional Volatility in Real Output : Evidence from Three East Asian Tigers Using a Multivariate GARCH approach," Trade Working Papers 22760, East Asian Bureau of Economic Research.
  • Handle: RePEc:eab:tradew:22760
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    References listed on IDEAS

    as
    1. Ho, Kin-Yip & Tsui, Albert K. C., 2003. "Asymmetric volatility of real GDP: some evidence from Canada, Japan, the United Kingdom and the United States," Japan and the World Economy, Elsevier, pages 437-445.
    2. Ho, Kin Yip & Tsui, Albert K.C., 2004. "Analysis of real GDP growth rates of greater China: An asymmetric conditional volatility approach," China Economic Review, Elsevier, vol. 15(4), pages 424-442.
    3. Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(01), pages 122-150, February.
    4. Faust, Jon & Tryon, Ralph, 1995. "A Distributed Block Approach to Solving Near-Block-Diagonal Systems with an Application to a Large Macroeconometric Model," Computational Economics, Springer;Society for Computational Economics, vol. 8(4), pages 303-316, November.
    5. Allan D. Brunner, 1997. "On The Dynamic Properties Of Asymmetric Models Of Real GNP," The Review of Economics and Statistics, MIT Press, pages 321-352.
    6. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, pages 307-327.
    7. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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    Cited by:

    1. Prakash L. Dheeriya & Fahimeh Rezayat & Burhan F. Yavas, 2014. "Relations between Volatility and Returns of Exchange Traded Funds of Emerging Markets and of USA," Review of Economics & Finance, Better Advances Press, Canada, vol. 4, pages 44-46, Feburary.
    2. Irene Brunetti & Davide fiaschi & Lisa Gianmoena, 2013. "An Index of Growth Rate Volatility: Methodology and an Application to European Regions," Discussion Papers 2013/169, Dipartimento di Economia e Management (DEM), University of Pisa, Pisa, Italy.
    3. Yavas, Burhan F. & Dedi, Lidija, 2016. "An investigation of return and volatility linkages among equity markets: A study of selected European and emerging countries," Research in International Business and Finance, Elsevier, pages 583-596.

    More about this item

    Keywords

    East Asia; Real Output; GARCH; structural changes; asymmetric volatility;

    JEL classification:

    • 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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