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Modelling the asymmetric volatility of electronics patents in the USA

Chan, F., Marinova, D. and McAleer, M. (2004) Modelling the asymmetric volatility of electronics patents in the USA. Mathematics and Computers in Simulation, 64 (1). pp. 169-184.

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Since the 1970s, electronics and associated electrical equipment (henceforth "electronics") has been one of the most dominant industries in the developed countries, with its geographical centre firmly rooted in the USA. The overall presence of electronics patents in the USA is considerable, with the share of electronics reaching 31% of all US patents in 1996 and total electronics patents reaching close to 170,000 in 1997. For the empirical analysis, the time-varying nature of volatility in the electronics patent share, namely the ratio of US electronics patents to total US patents, is examined using monthly data from January 1975 to December 1997. As negative and positive movements in the patent share may have different impacts on innovative activity, and hence on volatility, both symmetric and asymmetric models of volatility are estimated. The estimated models are the symmetric AR(1)-GARCH(1, 1), the asymmetric AR(1)-GJR(1, 1), and asymmetric AR(1)-EGARCH(1, 1). Of these, the asymmetric AR(1)-GJR(1, 1) model is found to be suitable for modelling the electronics patent share in the USA. © 2003 IMACS.

Publication Type: Journal Article
Publisher: Elsevier B.V.
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