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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

Hai, Vu Thanh; Tsuia, Albert K.; Zhang, Zhaoyong - East Asian Bureau of Economic Research (EABER) - 2009

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...

Persistent link: https://www.econbiz.de/10009363459

Measuring asymmetry and persistence in conditional volatility in real output: evidence from three East Asian tigers using a multivariate GARCH approach

Hai, Vu Thanh; Tsui, Albert K.; Zhang, Zhaoyong - In: Applied economics 45 (2013) 20, pp. 2909-2914

Persistent link: https://www.econbiz.de/10010053552

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

Hai, Vu Thanh; Tsui, Albert K.; Zhang, Zhaoyong - Department of Economics, National University of Singapore - 2009

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...

Persistent link: https://www.econbiz.de/10008469692

Measuring asymmetry and persistence in conditional volatility in real output: evidence from three East Asian tigers using a multivariate GARCH approach

Hai, Vu Thanh; Tsui, Albert K.; Zhang, Zhaoyong - In: Applied Economics 45 (2013) 20, pp. 2909-2914

We search for evidence of conditional volatility in the quarterly real Gross Domestic Product (GDP) growth rates of three East Asian tigers: Singapore, Hong Kong and Taiwan. The widely accepted Exponential Generalized Autoregressive Conditional Heteroscedasticity (EGARCH)-type model is used to...

Persistent link: https://www.econbiz.de/10010618963