Browsing by Subject "EGARCH model"

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    Seasonal patterns of inflation uncertainty for the US economy: an EGARCH model results
    (IUP Publications, 2010) Berument, Hakan; Kose, N.; Sahin, A.
    The purpose of this paper is to assess the seasonal inflation uncertainties for a big open economy, the US, for the period from January 1947 to April 2008. The paper uses EGARCH model which includes volatility in the conditional mean equation capturing the short-term and long-term volatility forecasts and leverage effects. The results indicate that seasonal inflation uncertainty increases in January, April and September and decreases in May, June, July and August.