Inflation and Inflation Uncertainty in Sweden: a GARCH Modelling Approach
This essay investigates inflation and inflation uncertainty in Sweden from 1970:Q1 to 2014:Q4. GARCH models are used to generate a measure of inflation uncertainty estimated under the distributional assumption of Student's t-distribution and GED. The preferable model found for Swedish inflation was a EGARCH(1,1) estimated with Student's t-distribution. The coefficient of the asymmetry in t