Seasonal Patterns of Inflation Uncertainty for the US Economy: An EGARCH Model Results

Berument, Hakan; Kose, Nezir; Sahin, Afsin
February 2010
IUP Journal of Monetary Economics;Feb2010, Vol. 8 Issue 1/2, p7
Academic Journal
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.


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