Asymmetries and non-linearities in economic activity

Fabio Fornari () and Antonio Mele

Applied Financial Economics, 1997, vol. 7, issue 2, 203-206

Abstract: Industrial production is analysed for three countries. A GARCH framework is employed to model the conditional variances of the cycles, which are found to react asymmetrically to shocks of opposite sign; one of the three cases exhibits long-memory features. The ability of GARCH models at capturing all the heteroscedasticity of the data is tested against the null of deterministic chaos.

Date: 1997
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DOI: 10.1080/096031097333772

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