Faculty Digital Archive

Archive@NYU >
Stern School of Business >
Salomon Center >
Financial Econometrics >

Please use this identifier to cite or link to this item: http://hdl.handle.net/2451/26933

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

Files in This Item:

File Description SizeFormat
CFE-04-05.pdf450 kBAdobe PDFView/Open

Items in Faculty Digital Archive are protected by copyright, with all rights reserved, unless otherwise indicated.


The contents of the FDA may be subject to copyright, be offered under a Creative Commons license, or be in the public domain.
Please check items for rights statements. For information about NYU’s copyright policy, see http://www.nyu.edu/footer/copyright-and-fair-use.html 
Valid XHTML 1.0 | CSS