Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH

Massimiliano Caporin and Michael McAleer

No CIRJE-F-740, CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo

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 quasimaximum likelihood estimators. The paper also presents an empirical example to highlight the usefulness of the new model.

Pages: 52pages
Date: 2010-05
New Economics Papers: this item is included in nep-ets
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http://www.cirje.e.u-tokyo.ac.jp/research/dp/2010/2010cf740.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: 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 (2009)
Working Paper: Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH (2008)
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