Modelling the asymmetric volatility of anti-pollution patents in the USA

Felix Chan, Dora Marinova () and Michael McAleer
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Dora Marinova: Institute for Sustainability and Technology Policy, Murdoch University Murdoch

Scientometrics, 2004, vol. 59, issue 2, No 1, 179-197

Abstract: Abstract The paper analyses the asymmetric volatility of patents related to pollution prevention and abatement (hereafter, anti-pollution) technologies registered in the USA. Ecological and pollution prevention technology patents have increased steadily over time, with the 1990's having been a period of intensive patenting of technologies related to the environment. The time-varying nature of the volatility of anti-pollution technology patents registered in the USA is examined using monthly data from the US Patent and Trademark Office for the period January 1975 to December 1999. Alternative symmetric and asymmetric volatility models, such as GARCH, GJR and EGARCH, are estimated and tested against each other using full sample and rolling windows estimation.

Date: 2004
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DOI: 10.1023/B:SCIE.0000018527.22276.10

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