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Title: Volatility dynamics of the UK business cycle: A multivariate asymmetric garch approach
Authors: Ho, K.Y.
Tsui, A.K. 
Zhang, Z.
Keywords: Business Cycle Asymmetries
Constant Correlations
Multivariate Asymmetric GARCH
Time-Varying Correlations
Issue Date: 2009
Citation: Ho, K.Y., Tsui, A.K., Zhang, Z. (2009). Volatility dynamics of the UK business cycle: A multivariate asymmetric garch approach. Economie Internationale 117 (1) : 31-46. ScholarBank@NUS Repository.
Abstract: This paper analyses the volatility dynamics of the UK business cycle by proposing four new multivariate asymmetric GARCH models that not only capture asymmetric volatility but also time-varying correlations. 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.
Source Title: Economie Internationale
ISSN: 12408095
Appears in Collections:Staff Publications

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