Seasonality in inflation Volatility: Evidence from Turkey
Journal of Applied Economics
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Berument, M. H., & Sahin, A. (2010). Seasonality in inflation volatility: Evidence from Turkey. Journal of Applied Economics, 13(1), 39-65.
Please cite this item using this persistent URLhttp://hdl.handle.net/11693/12000
This paper assesses the presence of seasonal volatility in price indexes where a similar type of pattern has been reported in asset prices in financial markets. The empirical evidence from Turkey for the monthly period from 1987:01 to 2007:05 suggests the presence of seasonality in the conditional variance of inflation. Thus, inferences for the models that do not account for the seasonality in the conditional variance will be misleading.