Performance comparison of alternative volatility models applied to economic indexes: the role of asymmetric effects

Mário Correia Fernandes, Tiago Mota Dutra, João C.A. Teixeira and Inês Silvestre

Applied Economics, 2025, vol. 57, issue 47, 7657-7670

Abstract: This article examines the empirical relationship between economic indexes – namely the industrial production and the consumer confidence – and their volatility by using the United States data over the periods 1919–2023 and 1960–2023, respectively. To address this topic, several GARCH-family models including volatility feedback and the asymmetric effects are estimated. We find that (i) the industrial production index exhibits asymmetric effects, with significant fitting performance over the standard GARCH model; (ii) the inclusion of $t$t-distributed innovations in the error term improves the fitting performance of the competing models against their counterparts with a normal distribution assumption; (iii) both models tested for the consumer confidence index exhibit similar performance to fit with the data; (iv) by excluding the months during and after the COVID-19 pandemics and the Russia–Ukraine conflict, it leads to the same results and conclusions for both economic indexes. Conditional heteroscedasticity, economic growth, GARCH models, asymmetric effects, volatility feedback

Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/00036846.2024.2393460 (text/html)
Access to full text is restricted to subscribers.

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: https://EconPapers.repec.org/RePEc:taf:applec:v:57:y:2025:i:47:p:7657-7670

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

DOI: 10.1080/00036846.2024.2393460

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().