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Structurally-Induced Volatility Clustering

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Author Info
Mark Machina (University of California, San Diego)
Clive Granger (University of California, San Diego)

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Abstract

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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Publisher Info
Paper provided by Department of Economics, UC San Diego in its series University of California at San Diego, Economics Working Paper Series with number 2002-15.

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Date of creation: 12 Sep 2002
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Handle: RePEc:cdl:ucsdec:2002-15

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Related research
Keywords: volatility clustering; induced volatility clustering; stochastic volatility; ARCH;

References listed on IDEAS
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  1. Ghysels, E. & Harvey, A. & Renault, E., 1996. "Stochastic Volatility," Cahiers de recherche 9613, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
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This page was last updated on 2009-10-21.

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