Please use this identifier to cite or link to this item: https://doi.org/10.1016/S0922-1425(03)00026-4
Title: Asymmetric volatility of real GDP: Some evidence from Canada, Japan, the United Kingdom and the United States
Authors: Ho, K.-Y.
Tsui, A.K.C. 
Keywords: Asymmetric volatility
EGARCH model
Real growth rates
Issue Date: 2003
Source: Ho, K.-Y., Tsui, A.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 15 (4) : 437-445. ScholarBank@NUS Repository. https://doi.org/10.1016/S0922-1425(03)00026-4
Abstract: The recent empirical investigation of conditional volatility in real GDP growth rates of Japan, the United Kingdom, and the United States by Hamori [Jpn. World Econ. 12 (2000) 143] finds no evidence of asymmetry. This paper re-visits the issue of asymmetric volatility using a similar approach with some modifications. We find statistically significant evidence of asymmetric volatility in the real growth rates of the United States and Canada. As such, it may be premature to conclude that business cycle indicators generally do not exhibit volatility asymmetry.©2003 Elsevier B.V. All rights reserved.
Source Title: Japan and the World Economy
URI: http://scholarbank.nus.edu.sg/handle/10635/20019
ISSN: 09221425
DOI: 10.1016/S0922-1425(03)00026-4
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