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Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/26933
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| Title: | The Spline GARCH Model for Unconditional Volatility and its Global
Macroeconomic Causes |
| Authors: | Engle, Robert F.
Rangel, J. Gonzalo |
| Issue Date: | 12-Aug-2005 |
| Series/Report no.: | SC-CFE-04-05 |
| Abstract: | We introduce a new model to measure unconditional volatility, the
Spline-GARCH. The model is applied to equity markets for 50 countries
for up to 50 years of daily data. Macroeconomic determinants of
unconditional volatility are investigated. It is found that volatility
in macroeconomic factors such as gdp growth, inflation and short term
interest rates are important explanatory variables that increase
volatility. There is evidence that high inflation and low growth of
output are positive determinants. Volatility is higher for emerging
markets and for markets with small numbers of listings but also for
large economies. |
| URI: | http://hdl.handle.net/2451/26933 |
| Appears in Collections: | Financial Econometrics
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