haku: @indexterm AUTOREGRESSION / yhteensä: 20
viite: 15 / 20
| Tekijä: | Hamori, S. |
| Otsikko: | Volatility of real GDP: some evidence from the United States, the United Kingdom and Japan |
| Lehti: | Japan and the World Economy
2000 : MAY, VOL. 12:2, p. 143-152 |
| Asiasana: | AUTOREGRESSION HETEROSCEDASTICITY GROWTH |
| Kieli: | eng |
| Tiivistelmä: | 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 that asymmetric to real growth rates in GDP. |
SCIMA