Title

Measuring asymmetry and persistence in conditional volatility in real output: evidence from three East Asian tigers using a multivariate GARCH approach

Document Type

Journal Article

Publisher

Routledge

Faculty

Faculty of Business and Law

School

School of Business/Finance, Economics, Markets and Accounting Research Centre

RAS ID

16402

Comments

This article was originally published as : Vu Thanh , H., Albert K. , T., & Zhang, Z. (2013). Measuring asymmetry and persistence in conditional volatility in real output: evidence from three East Asian tigers using a multivariate GARCH approach. Applied Economics, 45(20), 2909-2914. Original article available here

Abstract

We search for evidence of conditional volatility in the quarterly real Gross Domestic Product (GDP) growth rates of three East Asian tigers: Singapore, Hong Kong and Taiwan. The widely accepted Exponential Generalized Autoregressive Conditional Heteroscedasticity (EGARCH)-type model is used to capture the existence of asymmetric volatility and the potential structural break points in the volatility. We find evidence of asymmetry and persistence in the volatility of GDP growth rates. It is noted that the structural breakpoints of volatility correspond reasonably well to the historical economic and political events in these economies. Policy implications from our findings are discussed.

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