I have quarterly data on core inflation and fuel price for a period for 10 years, and I want to check the comparative level of volatility statistically. How can I do the same? Thanks.
I think there are many ways to do it…. as far as I know, the more advanced technique is MGARCH,, under this technique, you can check the conditional volatility as well.
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The following introductory level paper should get you started: http://archive.nyu.edu/bitstream/2451/26577/2/FIN-01-030.pdf
Volatility comprises uncertainty plus risk. As far as I know, you are unable to calculate volatility of time series. Although I know in the advanced time series books such as Applied Econometric Time Series Walter Enders’ book, there is description about volatility but it is unmeasurable. However, you will be able to calculate just uncertainty by using the best AR(P) model. If there is heteroscedasticity problem in the estimated model, you will be able to proceed in calculating uncertainty.
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