The Variability and Volatility of Sleep: An ARCHetypal Approach

with D. Hamermesh

"Using Dutch time-diary data from 1975-2005 covering over 10,000 respondents for 7 consecutive days
each, we show that sleep time exhibits variability and volatility characterized by stationary autoregressive
conditional heteroscedasticity: The absolute values of deviations from a person’s average sleep on one day
are positively correlated with those on the next day. Sleep is more variable on weekends and among people
with less education, who are younger and who do not have young children at home. It is more volatile
among men than women, but volatility is independent of other demographic characteristics. A theory of
economic incentives to minimize the dispersion of sleep predicts that higher-wage workers will exhibit
lesser dispersion, a result demonstrated using extraneous estimates of earnings equations to impute wage
rates. Volatility in sleep spills over onto other personal activities, with lesser reverse causation onto sleep.
The results illustrate a novel dimension of economic inequality."