Structurally-Induced Volatility Clustering
Structurally-Induced Volatility Clustering
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.
- University of California United States
- University of California, San Diego United States
- Tinbergen Institute Netherlands
volatility clustering, induced volatility clustering, stochastic volatility, volatility clustering, induced volatility clustering, stochastic volatility, ARCH, ARCH
volatility clustering, induced volatility clustering, stochastic volatility, volatility clustering, induced volatility clustering, stochastic volatility, ARCH, ARCH
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