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Modelling the Asymmetric Volatility of Electronics Patents in the USA

  • Felix Chan

    (Department of Economics, University of Western Australia)

  • Dora Marinova

    (Institute for Sustainability and Technology Policy, Murdoch University)

  • Michael McAleer

    (Department of Economics, University of Western Australia)

Since the 1970s, electronics and associated electrical equipment (henceforth "electronics") has been one of the most dominant industries in the developed countries, with its geographical centre firmly rooted in the USA. The overall presence of electronics patents in the USA is considerable, with the share of electronics reaching 31% of all US patents in 1996 and total electronics patents reaching close to 170,000 in 1997. For the empirical analysis, the time-varying nature of volatility in the electronics patent share, namely the ratio of US electronics patents to total US patents, is examined using monthly data from January 1975 to December 1997. As negative and positive movements in the patent share may have different impacts on innovative activity, and hence on volatility, both symmetric and asymmetric models of volatility are estimated. The estimated models are the symmetric AR(1)-GARCH(1,1), the asymmetric AR(1)-GJR(1,1), and asymmetric AR(1)-EGARCH(1,1). Of these, the asymmetric AR(1)-GJR(1,1) model is found to be suitable for modelling the electronics patent share in the USA.

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File URL: http://www.cirje.e.u-tokyo.ac.jp/research/dp/2003/2003cf208.pdf
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Paper provided by CIRJE, Faculty of Economics, University of Tokyo in its series CIRJE F-Series with number CIRJE-F-208.

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Length: 24 pages
Date of creation: Mar 2003
Date of revision:
Handle: RePEc:tky:fseres:2003cf208
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  1. McAleer, Michael & Chan, Felix & Marinova, Dora, 2007. "An econometric analysis of asymmetric volatility: Theory and application to patents," Journal of Econometrics, Elsevier, vol. 139(2), pages 259-284, August.
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