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

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

Bayesian and Frequentist Approach to Time Series Forecasting with Application to Kenya’s GDP per Capita

“…Other empirical studies such as that of the studies [6][7] have shown that ARIMA models can be outperformed by other models.…”

“…Several studies such as that of studies [3,5,17,[19][20] showed that the ARIMA model is appropriate for modelling and forecasting GDP. However, other empirical studies such as that of studies [6][7] indicate that the ARIMA models can be outperformed by other models. The study of studies [26][27][28]14] have shown that the state space models are the most appropriate models for fitting and forecasting short time series data.…”

“…The study [3] found that the ARIMA (2,2,2) model was the most appropriate model for predicting Kenya's real GDP, [4] identified the ARIMA (1,1,1) as the best model for predicting the GDP of China and [5] used the Box-Jenkins technique to show that the ARIMA (1,1,0) is the best model for predicting the GDP of Pakistan. However, other empirical studies such as that of the studies [6][7] have shown that there are other models that can outperform the ARIMA models.…”

A Comparison of the Economic Volatility Spillover Effect of Hong Kong with China and USA

“…Asian Economic and Financial Review most of the G7 countries. Hai et al (2013) formed an EGARCH model to explore the existence of asymmetric volatility in real GDP growth rates in Singapore, Hong Kong and Taiwan. They found that evidence of asymmetry and persistence existed in the volatility of real GDP growth rates.…”

Volatility in European regions

“…We depart from the literature, generally adopting as a measure of GRV the standard deviation (SD) of per capita GDP growth rates (such as, in Ramey and Ramey ), using an index of GRV based on Markov matrices inspired by the literature on social mobility: both phenomena are in fact related to the frequency and intensity of fluctuations/changes in the variable of interest (growth rates or income/occupations) (see Bartholomew ). Among the advantages of the proposed approach, it can help tune the impact on the index of GRV due to business cycles as opposed to large fluctuations, and compute the contribution of negative fluctuations to overall GRV, that is, to evaluate the importance of asymmetry in the business cycle, a key feature of the standard Keynesian model (Hai et al ). Finally, our GRV index makes it possible to set the (frequency) type of fluctuations to be considered in the calculation of the index (e.g.…”