Structurally-Induced Volatility Clustering

Mark Machina and Clive W. J. Granger
Additional contact information
Mark Machina: University of California, San Diego

No 2002-15, University of California at San Diego, Economics Working Paper Series from Department of Economics, UC San Diego

Abstract: Many standard structural models in economics have the property that they induce persistent, partially predictable heteroskedasticity ("volatility clustering") in their key dependent variables, even when their underlying stochastic shock variables are all serially independent and homoskedastic, and their structural parameters are all time-invariant. This paper presents examples of this phenomenon, and examines the nature of such induced volatility clustering.

Keywords: volatility clustering; induced volatility clustering; stochastic volatility; ARCH (search for similar items in EconPapers)
Date: 2002-09-12
Note: oai:cdlib1:
View list of references

Downloads: (external link)
http://repositories.cdlib.org/cgi/viewcontent.cgi?article=1108&context=ucsdecon (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:cdl:ucsdec:2002-15

Access Statistics for this paper

More papers in University of California at San Diego, Economics Working Paper Series from Department of Economics, UC San Diego
Contact information at EDIRC.
Series data maintained by Christopher F. Baum ().