Asymmetric volatility of real GDP: some evidence from Canada, Japan, the United Kingdom and the United States

The recent empirical investigation of conditional volatility in real GDP growth rates of Japan, the United Kingdom, and the United States by Hamori [Jpn. World Econ. 12 (2000) 143] finds no evidence of asymmetry. This paper re-visits the issue of asymmetric volatility using a similar approach with s...

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Bibliographic Details
Published in:Japan and the world economy 2003-12, Vol.15 (4), p.437-445
Main Authors: Ho, Kin-Yip, Tsui, Albert K.C.
Format: Article
Language:English
Subjects:
Asymmetric volatility
Canada
Economic growth
Economic models
Economics
EGARCH model
Globalization
International relations
Japan
Model testing
Real growth rates
U.S.A
United Kingdom
Volatility
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Summary:The recent empirical investigation of conditional volatility in real GDP growth rates of Japan, the United Kingdom, and the United States by Hamori [Jpn. World Econ. 12 (2000) 143] finds no evidence of asymmetry. This paper re-visits the issue of asymmetric volatility using a similar approach with some modifications. We find statistically significant evidence of asymmetric volatility in the real growth rates of the United States and Canada. As such, it may be premature to conclude that business cycle indicators generally do not exhibit volatility asymmetry.
ISSN:0922-1425
1879-2006
DOI:10.1016/S0922-1425(03)00026-4