Structural attribution of observed volatility clustering [An article from: Journal of Econometrics]

by C.W.J. Granger, M.J. Machina

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This digital document is a journal article from Journal of Econometrics, published by Elsevier in 2006. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.

Description:
Virtually all nonlinear economic models with independent, identically distributed stochastic shocks and time-invariant structural parameters will generate persistent, partially predictable heteroskedasticity (''volatility clustering'') in their key dependent variables. This paper offers some examples of this phenomenon, derives i.i.d. shock, time-invariant structural forms which generate various types of observed volatility clustering, and examines the modeling and forecasting implications of such ''structural attribution.''

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