Measuring Asymmetry and Persistence in Conditional Volatility in Real Output: Evidence from Three East Asian Tigers Using a Multivariate GARCH approach

We search for evidence of conditional volatility in the quarterly real GDP growth rates of
three East Asian tigers: Singapore, Hong Kong and Taiwan. The widely accepted
exponential GARCH-type model is used to capture the existence of asymmetric volatility and
the potential structural break points in the volatility. We find evidence of asymmetry and
persistence in the volatility of GDP growth rates. It is noted that the identified structural
breakpoints of volatility correspond reasonably well to the historical economic and political
events in these economies. Policy implications are discussed.