Volatility Dynamics of the UK Business Cycle: A Multivariate Asymmetric GARCH Approach

Authors

Kin-Yip Ho
Albert K. Tsui
Zhaoyong Zhang, Edith Cowan UniversityFollow

Document Type

Journal Article

Faculty

Faculty of Business and Law

School

School of Accounting, Finance and Economics

RAS ID

8215

Comments

Ho, K. Y., Tsui, A. K., & Zhang, Z. (2009). VOLATILITY DYNAMICS OF THE UK BUSINESS CYCLE: Amultivariate ASYMMETRIC GARCH APPROACH. Économie internationale, 117, 31-46. Available here

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.

Access Rights

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