Threshold, news impact surfaces and dynamic asymmetric multivariate GARCH

Massimiliano Caporin and Michael McAleer

No EI 2010-36, Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

Abstract: DAMGARCH is a new model that extends the VARMA-GARCH model of Ling and McAleer (2003) by introducing multiple thresholds and time-dependent structure in the asymmetry of the conditional variances. Analytical expressions for the news impact surface implied by the new model are also presented. DAMGARCH models the shocks affecting the conditional variances on the basis of an underlying multivariate distribution. It is possible to model explicitly asset-specific shocks and common innovations by partitioning the multivariate density support. This paper presents the model structure, describes the implementation issues, and provides the conditions for the existence of a unique stationary solution, and for consistency and asymptotic normality of the quasi-maximum likelihood estimators. The paper also presents an empirical example to highlight the usefulness of the new model.

Keywords: asymptotic theory; conditional variance; multivariate asymmetry; multivariate news impact cure; stationarity conditions (search for similar items in EconPapers)
JEL-codes: C32 C51 C52 (search for similar items in EconPapers)
Date: 2010-05-11
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://repub.eur.nl/pub/19452/EI2010-36.pdf (application/pdf)

Related works:
Journal Article: Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH (2011)
Working Paper: Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH (2010)
Working Paper: Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH (2010)
Working Paper: Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH (2010)
Working Paper: Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH (2010)
Working Paper: Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH (2010)
Working Paper: Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH (2009)
Working Paper: Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH (2008)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ems:eureir:19452

Access Statistics for this paper

More papers in Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Contact information at EDIRC.
Bibliographic data for series maintained by RePub ( this e-mail address is bad, please contact ).