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Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH

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Caporin, Massimiliano and McAleer, Michael (2009) Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH. [ Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 11, 2009, ] (Unpublished)

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Official URL: http://eprints.ucm.es/8609/


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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.


Item Type:Working Paper or Technical Report
Uncontrolled Keywords:Multivariate asymmetry, Conditional variance, Stationarity conditions, Asymptotic theory, Multivariate news impact curve.
Subjects:Social sciences > Economics > Econometrics
JEL:C32, C51, C52
Series Name:Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE)
Volume:2009
Number:11
ID Code:8609
Deposited On:09 Mar 2009 08:54
Last Modified:09 Jun 2017 08:59

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