Editorial Director Sébastien Jean Managing Editor Valérie Mignon Mario Larch   PRESENTATION ARCHIVES   View Editorial Board and Associate Editors CEPII English   N° 117   Issue 1 2009   Volatility Dynamics of the UK Business Cycle: a Multivariate Asymmetric Garch Approach   Kin-Yip Ho Albert K. Tsui Zhaoyong Zhang   This paper analyses thé volatility dynamics of thé UK business cycle by proposing four new multivariate asymmetric GARCH models that not only capture asymmetric volatility but aso time-varying corrélations. The results indicate the existence of asymmetric volatility, but it is sensitive to the structure of the conditional variance. It is also found that correlations and volatility are usually higher around the recession phase of the UK economy. These have important implications for macroeconomic policy and forecasting for business cycle. Abstract Full text     Business cycle asymmetries; constant correlations; multivariate asymmetric GARCH; time-varying correlations Keywords E32; E37 JEL classification Order form