Volatility measures
Posted: Thu Dec 02, 2010 2:25 am
Hi All,
I am trying to measure the volatility of the variables below. I'm not sure when i should be using first difference, log, or log difference. Can someone please explain this to me?
Thanks
LT Interest Rate
ST Interest Rate
Relative Equity Return (using 2 stock indices)
GDP Growth spread between 2 countries
M2/GDP
Dom Credit/GDP
Foreign Reserves/GDP
I am trying to measure the volatility of the variables below. I'm not sure when i should be using first difference, log, or log difference. Can someone please explain this to me?
Thanks
LT Interest Rate
ST Interest Rate
Relative Equity Return (using 2 stock indices)
GDP Growth spread between 2 countries
M2/GDP
Dom Credit/GDP
Foreign Reserves/GDP