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Output Growth and its Volatility: The Gold Standard through the Great Moderation.

This study examines the relationship between U.S. output growth and its volatility over the period 1876:1 to 2012:11. We adjust the data for outliers and structural breaks. We employ generalized autoregressive conditional heteroskedasticity (GARCH) and exponential GARCH (EGARCH) specifications. Norm...

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Published in:Southern Economic Journal Vol. 80; no. 3; pp. 728 - 752
Main Authors: Fangand, WenShwo, Miller, Stephen M.
Format: Article
Published: Wiley-Blackwell Jan2014
Subjects:
United States
GARCH model
Financial markets
Market volatility
Gross national product
Online Access:View this record in EBSCOhost