Seasonality in Variance Is Common in Macro Time Series

Ted Jaditz

23 citations0/0 files storedThe Journal of Business

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Financial Risk and Volatility Modeling Monetary Policy and Economic Impact Time Series Analysis and Forecasting

Abstract

While it is widely appreciated that financial time series exhibit seasonality in variance, it is less widely known that many macroeconomic time series exhibit significant seasonality in variance as well. We look at nine common macro time series, including measures of prices, money, and interest rates. All have significant seasonality in variance. This feature has implications for time-series practice generally, for seasonal adjustment, and for policymakers.

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1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1990Seasonal integration and cointegration 1992Stock Prices and Volume 1995Measuring Business Cycles Approximate Band-Pass Filters for Economic Time Series 1966The Typical Spectral Shape of an Economic Variable 1993Seasonal unit roots in aggregate U.S. data

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2002Constructing Seasonally Adjusted Data with Time‐varying Confidence Intervals*

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