Volatility of real GDP: some evidence from the United States,the United Kingdom and Japan |
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| Affiliation: | 1. Collaborative Innovation Center for the Cooperation and Development of Hong Kong, Macao and Mainland China, Sun Yat-Sen University, Guangzhou, Guangdong 510275, China;2. Department of Economics, Western Michigan University, Kalamazoo, MI 49008-5330, United States;3. School of Economics, Zhongnan University of Economics and Law, Wuhan, Hubei 430073, China |
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| Abstract: | ![]()
This paper presents an empirical analysis of the volatility of real growth rates for the United States, the United Kingdom and Japan. Three ARCH-type models (GARCH, T-GARCH and E-GARCH) were estimated utilizing the maximum likelihood method. The GARCH version provided the best statistical fit, suggesting that volatility is variable and is symmetric than asymmetric to real growth rates in GDP. |
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