The literature on macroeconomic volatility covers an extremely wide field, reflected in the very broad spectrum of indicators used to grasp this phenomenon. The choice of indicator is generally little discussed, on the grounds that the different methods give rise to volatility scores that are strongly correlated. However, while these indicators do seem to converge when used to measure the average magnitude of volatility, they diverge significantly when one studies its asymmetry (predominance of positive or negative shocks) or the occurrence of extreme deviations. The volatility of an economic variable refers to the notion of disequilibrium, measured by the deviation between the values taken by this variable and a reference value or a trend.
