Analysis of real GDP growth rates of greater China: An asymmetric conditional volatility approach

Ho, Kin Yip; Tsui, Albert K.

doi:10.1016/j.chieco.2004.06.011

Cited by 14 publications

(9 citation statements)

References 37 publications

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“…The author found that US' negative shocks have greatly affected the ASEAN stock markets and China's negative. A study using quarterly real GDP as data was done by Ho and Tsui (2004), which examined the Greater China region using GARCH model to capture the probable existence of asymmetrical conditional volatility. The study discovered that negative real GDP shocks may bring a greater impact on future volatilities compared to positive shocks of the same magnitude.…”

Section: Integration Through Growth Rates/return and Volatility Modelsmentioning

confidence: 99%

Real GDP Growth Rates of the Asean Region: Evidence of Spillovers and Asymmetric Volatility Effects

Tan

Diaz

2020

LBIBF

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This paper identifies economic relations using real gross domestic product (GDP) within the five Associations of South-east Asian Nation economies namely: Indonesia, Malaysia, Philippines, Singapore and Thailand. Utilizing ARMA-GARCH, ARMA-EGARCH, ARMA-APARCH models, the study captures the presence of the leverage effect, and spillover of returns and volatility. Most economies except for Singapore are consistent with leverage effects, while the Philippines showed economic resilience with having symmetric volatility response. On one hand, Thailand’s economy has consistent negative one-way relationship on Malaysia’s economy for the three models. This paper suggests that ASEAN economies work together to improve bilateral relations and market integration by trading and investing; and cooperation in terms of food production and migrant workers condition. This will help to reinforce their economic and political relationships that can help boost their respective economies, and sense of regionalism. ASEAN should help each other by sharing their ways to improve the standards of living of their citizens, promotion of safer security and anti-terrorism activities, provide a safer place for the national and overseas workers, trade goods and sell in competitive prices, improve the level of education inside the country. Future studies can further extend data to include other ASEAN countries and also consider other political and economic organizations. A perceived limitation of the paper is the uncertainty of these five ASEAN-5 economies impact within the other major countries but to also other regional groupings and specific economies. In general, this paper can help policy-makers and researchers alike in better understanding economic relations and spillover effects of growth rates and volatility of real GDP. The paper offers further examination of the potential for further connection among the major ASEAN economies and to support existing integration policies.

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Section: Integration Through Growth Rates/return and Volatility Modelsmentioning

confidence: 99%

Real GDP Growth Rates of the Asean Region: Evidence of Spillovers and Asymmetric Volatility Effects

Tan

Diaz

2020

LBIBF

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“…, then the impact is asymmetric. The EGARCH (1,1) model is used because the inequality constraints on the parameters,   and  , given in Equation 3are not imposed; oscillatory behaviour in the conditional variance is permitted as the coefficient  can either be positive or negative, and the persistence of volatility shocks can be measured easily [10]. Reference [9] discusses in detail the advantages of using the EGARCH approach instead of the standard GARCH model.…”

Section:   Rmentioning

confidence: 99%

Tail Quantile Estimation of Heteroskedastic Intraday Increases in Peak Electricity Demand

Sigauke¹,

Verster²,

Chikobvu³

2012

OJS

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Modelling of intraday increases in peak electricity demand using an autoregressive moving average-exponential generalized autoregressive conditional heteroskedastic-generalized single Pareto (ARMA-EGARCH-GSP) approach is discussed in this paper. The developed model is then used for extreme tail quantile estimation using daily peak electricity demand data from South Africa for the period, years 2000 to 2011. The advantage of this modelling approach lies in its ability to capture conditional heteroskedasticity in the data through the EGARCH framework, while at the same time estimating the extreme tail quantiles through the GSP modelling framework. Empirical results show that the ARMA-EGARCH-GSP model produces more accurate estimates of extreme tails than a pure ARMA-EGARCH model

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“…Yet there is no study focusing on the volatility dynamics of the real GDP growth in these economies. The closely related one is Ho and Tsui (2004) who employed the exponential GARCH model by Nelson (1991) to investigate conditional variances of GDP series of Greater China -the Mainland China, Hong Kong and Taiwan.…”

Section: Introductionmentioning

confidence: 99%

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

2013

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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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Analysis of real GDP growth rates of greater China: An asymmetric conditional volatility approach

Cited by 14 publications

References 37 publications

Real GDP Growth Rates of the Asean Region: Evidence of Spillovers and Asymmetric Volatility Effects

Real GDP Growth Rates of the Asean Region: Evidence of Spillovers and Asymmetric Volatility Effects

Tail Quantile Estimation of Heteroskedastic Intraday Increases in Peak Electricity Demand

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

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