Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH

Massimiliano Caporin and Michael McAleer

No 64, "Marco Fanno" Working Papers from Dipartimento di Scienze Economiche "Marco Fanno"

Abstract: DAMGARCH 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. 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 provides analytical expressions for the news impact surface implied by DAMGARCH and an empirical example.

Keywords: multivariate asymmetry; conditional variance; stationarity conditions; asymptotic theory; multivariate news impact curve (search for similar items in EconPapers)
Pages: 51 pages
Date: 2008
New Economics Papers: this item is included in nep-ecm and nep-ets
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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: Threshold, 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)
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