The link between output growth and volatility: Evidence from a GARCH model with panel data

Jim Lee

Economics Letters, 2010, vol. 106, issue 2, 143-145

Abstract: Estimation results from a dynamic panel GARCH model for G7 countries over the 1965-2007 period support that higher output growth is associated with higher volatility of the innovations to growth, but higher growth does not lead to more economic uncertainty.

Keywords: Output; growth; Volatility; Conditional; heteroskedasticity; GARCH; Panel; data (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (47)

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