Modelling the asymmetric volatility of electronics patents in the USA
نویسندگان
چکیده
This paper analyses the asymmetric volatility in Japanese electronics and electrical equipment (hereafter, electronics) patents in the USA from 1975 to 1997. The number of patents has been increasing steadily over time and the electronics industry has a 30% share of total Japanese patents in the USA. Thus, such patents reflect a strategic development by Japanese companies for the US market. The time-varying nature of the volatility of the ratio of the number of electronics patents registered in the USA from Japan to the total number of electronics patents registered in the USA is examined for a variety of asymmetric models using data for the period January 1975 to December 1997. AR(1)-EGARCH(1,1) is found to be the most suitable model, but both the AR(1)-GARCH(1,1) and AR(1)-GJR(1,1) models provide interesting results for the electronics industry.
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ورودعنوان ژورنال:
- Mathematics and Computers in Simulation
دوره 64 شماره
صفحات -
تاریخ انتشار 2004