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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

  • Vu Thanh Hai

    (Department of Economics, National University of Singapore)

  • Albert K. Tsui

    ()

    (Department of Economics, National University of Singapore)

  • Zhaoyong Zhang

    (School of Accounting, Finance and Economics, Edith Cowan University)

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.

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File URL: http://www.fas.nus.edu.sg/ecs/pub/wp-scape/0904.pdf
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Paper provided by National University of Singapore, Department of Economics, SCAPE in its series SCAPE Policy Research Working Paper Series with number 0904.

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Length: 17 pages
Date of creation: Nov 2009
Date of revision:
Handle: RePEc:sca:scaewp:0904
Contact details of provider: Web page: http://www.fas.nus.edu.sg/ecs/scape/index.html
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  1. 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.
  2. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
  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. Allan D. Brunner, 1997. "On The Dynamic Properties Of Asymmetric Models Of Real GNP," The Review of Economics and Statistics, MIT Press, vol. 79(2), pages 321-352, May.
  5. 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.
  6. 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, vol. 15(4), pages 437-445, December.
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