Cyclical Patterns in the Variance of Economic Activity
用非对称指数广义自回归条件异方差模型分析美国实际GNP及其成分的条件方差，发现方差在负冲击后更高、在经济周期谷底最大，且这种不对称性在周期敏感部门显著。
Abstract This article models the conditional mean and variance of real gross national product (GNP) and its components using asymmetric exponential generalized autoregressive conditional hetero-scedasticity, a model previously applied only to financial variables. The results imply that the variance of real GNP is higher following negative innovations than positive innovations and that this asymmetry arises in the cyclically sensitive sectors. Further evidence links this asymmetry to the phase of the business cycle: The conditional variance appears to be largest around business-cycle troughs. In addition, shocks to the conditional variance of GNP and its components typically persist for long periods. The evidence of asymmetry in conditional variance is robust to a variety of alternative specifications. KEY WORDS: ARCH modelsAsymmetric exponential GARCHBusiness-cycle asymmetryNonlinear models