Structurally-Induced Volatility Clustering

Many standard structural models in economics have the property that they induce persistent, partially predictable heteroskedasticity ("volatility clustering") in their key dependent variables, even when their underlying stochastic shock variables are all serially independent and homoskedastic, and their structural parameters are all time-invariant. This paper presents examples of this phenomenon, and examines the nature of such induced volatility clustering.

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Year of publication:	2002-09-12
Authors:	Machina, Mark J ; Granger, Clive W.J.
Institutions:	Department of Economics, University of California-San Diego (UCSD)
Subject:	volatility clustering \| induced volatility clustering \| stochastic volatility \| ARCH

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Extent:	application/pdf
Series:	University of California at San Diego, Economics Working Paper Series.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Department of Economics, UCSD
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010536389