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Short-term volatility versus long-term growth: evidence in US macroeconomic time series

van Dijk, Dick; Sensier, Sensier, M. - Faculteit der Economische Wetenschappen, Erasmus … - 2001

We test for a change in the volatility of 215 US macroeconomic time series over the period 1960-1996. We find that … about 90\\% of these series have experienced a break in volatility during this period. This result is robust to controlling … for instability in the mean and business cycle nonlinearities. Real variables have seen a reduction in volatility since …

Persistent link: https://www.econbiz.de/10010837765

Forecasting volatility with switching persistence GARCH models

Franses, Philip Hans; van Dijk, Dick; Neele, Neele, J. - Faculteit der Economische Wetenschappen, Erasmus … - 1998

In this paper we examine the forecasting performance of five nonlinear GARCH(1,1) models. Four of these have recently been proposed in literature, while the fifth model is a new one. All five models allow for switching persistence of shocks, depending on the value and/or sign of recent returns....

Persistent link: https://www.econbiz.de/10010837955

Changes in variability of the business cycle in the G7 countries

van Dijk, Dick; Osborn, Osborn, D.R.; Sensier, Sensier, M. - Faculteit der Economische Wetenschappen, Erasmus … - 2002

Volatility breaks are tested and documented for 19 important monthly macroeconomic time series across the G7 countries … structural break, volatility breaks are found to be widespread. This continues to hold when business cycle nonlinearities are … allowed in the variance. Multiple volatility breaks are also examined, and these are found to be especially prevalent for …

Persistent link: https://www.econbiz.de/10010731776