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Fernandes, M. C, Dutra, T. M., Teixeira, J. C. A. & Silvestre, I. (N/A). Performance comparison of alternative volatility models applied to economic indexes: The role of asymmetric effects. Applied Economics. N/A

M. J. Fernandes et al.,  "Performance comparison of alternative volatility models applied to economic indexes: The role of asymmetric effects", in Applied Economics, vol. N/A, N/A

@article{fernandesN/A_1732891774168,
	author = "Fernandes, M. C and Dutra, T. M. and Teixeira, J. C. A. and Silvestre, I.",
	title = "Performance comparison of alternative volatility models applied to economic indexes: The role of asymmetric effects",
	journal = "Applied Economics",
	year = "N/A",
	volume = "N/A",
	number = "",
	doi = "10.1080/00036846.2024.2393460",
	url = "https://www.tandfonline.com/journals/raec20"
}

TY  - JOUR
TI  - Performance comparison of alternative volatility models applied to economic indexes: The role of asymmetric effects
T2  - Applied Economics
VL  - N/A
AU  - Fernandes, M. C
AU  - Dutra, T. M.
AU  - Teixeira, J. C. A.
AU  - Silvestre, I.
PY  - N/A
SN  - 0003-6846
DO  - 10.1080/00036846.2024.2393460
UR  - https://www.tandfonline.com/journals/raec20
AB  - This article examines the empirical relationship between economic indexes – namely the industrial production and the consumer confidence – and their volatility by using the United States data over the periods 1919–2023 and 1960–2023, respectively. To address this topic, several GARCH-family models including volatility feedback and the asymmetric effects are estimated. We find that (i) the industrial production index exhibits asymmetric effects, with significant fitting performance over the standard GARCH model; (ii) the inclusion of t-distributed innovations in the error term improves the fitting performance of the competing models against their counterparts with a normal distribution assumption; (iii) both models tested for the consumer confidence index exhibit similar performance to fit with the data; (iv) by excluding the months during and after the COVID-19 pandemics and the Russia–Ukraine conflict, it leads to the same results and conclusions for both economic indexes. Conditional heteroscedasticity, economic growth, GARCH models, asymmetric effects, volatility feedback.
ER  -