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Measuring Asymmetry and Persistence in Conditional Volatility in Real Output: Evidence from Three East Asian Tigers Using a Multivariate GARCH approach

Vu Thanh Hai, Albert Tsui () and Zhaoyong Zhang ()
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Vu Thanh Hai: Department of Economics, National University of Singapore

SCAPE Policy Research Working Paper Series from National University of Singapore, Department of Economics, SCAPE

Abstract: We search for evidence of conditional volatility in the quarterly real GDP growth rates of three East Asian tigers: Singapore, Hong Kong and Taiwan. The widely accepted exponential GARCH-type model is used to capture the existence of asymmetric volatility and the potential structural break points in the volatility. We find evidence of asymmetry and persistence in the volatility of GDP growth rates. It is noted that the identified structural breakpoints of volatility correspond reasonably well to the historical economic and political events in these economies. Policy implications are discussed.

Keywords: East Asia; Real Output; GARCH; structural changes; asymmetric volatility (search for similar items in EconPapers)
JEL-codes: F14 F31 P21 (search for similar items in EconPapers)
Pages: 17 pages
Date: 2009-11
New Economics Papers: this item is included in nep-sea
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http://www.fas.nus.edu.sg/ecs/pub/wp-scape/0904.pdf (application/pdf)

Related works:
Journal Article: Measuring asymmetry and persistence in conditional volatility in real output: evidence from three East Asian tigers using a multivariate GARCH approach (2013) Downloads
Working Paper: Measuring Asymmetry and Persistence in Conditional Volatility in Real Output: Evidence from Three East Asian Tigers Using a Multivariate GARCH approach (2009) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:sca:scaewp:0904

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