Title

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

Document Type

Journal Article

Faculty

Business and Law

School

Accounting, Finance and Economics

RAS ID

8215

Comments

Originally published as: 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. Original article 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.

Article Location

 
COinS