Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH

Dynamic Asymmetric Multivariate GARCH (DAMGARCH) is a new model that extends the Vector ARMA‐GARCH (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...

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Published inStatistica Neerlandica Vol. 65; no. 2; pp. 125 - 163
Main Authors Caporin, Massimiliano, McAleer, Michael
Format Journal Article
LanguageEnglish
Published Oxford, UK Blackwell Publishing Ltd 01.05.2011
Netherlands Society for Statistics and Operations Research
SeriesStatistica Neerlandica
Subjects
Asymmetry
Asymptotic properties
asymptotic theory
conditional variance
Density
Dynamics
Mathematical analysis
Mathematical models
Multivariate analysis
multivariate asymmetry
multivariate news impact curve
News
stationarity conditions
Statistical analysis
Studies
Thresholds
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Abstract Dynamic Asymmetric Multivariate GARCH (DAMGARCH) is a new model that extends the Vector ARMA‐GARCH (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 article 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 article also presents an empirical example to highlight the usefulness of the new model.
AbstractList Dynamic Asymmetric Multivariate GARCH (DAMGARCH) is a new model that extends the Vector ARMA-GARCH (VARMA-GARCH) model of L and MA (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 article 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 article also presents an empirical example to highlight the usefulness of the new model.
Dynamic Asymmetric Multivariate GARCH (DAMGARCH) is a new model that extends the Vector ARMA-GARCH (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 article 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 article also presents an empirical example to highlight the usefulness of the new model. [PUBLICATION ABSTRACT]
Dynamic Asymmetric Multivariate GARCH (DAMGARCH) is a new model that extends the Vector ARMA‐GARCH (VARMA‐GARCH) model of L ing and M c A leer (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 article 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 article also presents an empirical example to highlight the usefulness of the new model.
Dynamic Asymmetric Multivariate GARCH (DAMGARCH) is a new model that extends the Vector ARMA‐GARCH (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 article 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 article also presents an empirical example to highlight the usefulness of the new model.
Author Caporin, Massimiliano
McAleer, Michael
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  organization: Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam, and Tinbergen Institute, The Netherlands, and Institute of Economic Research, Kyoto University
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Snippet Dynamic Asymmetric Multivariate GARCH (DAMGARCH) is a new model that extends the Vector ARMA‐GARCH (VARMA‐GARCH) model of Ling and McAleer (2003) by...
Dynamic Asymmetric Multivariate GARCH (DAMGARCH) is a new model that extends the Vector ARMA‐GARCH (VARMA‐GARCH) model of L ing and M c A leer (2003) by...
Dynamic Asymmetric Multivariate GARCH (DAMGARCH) is a new model that extends the Vector ARMA-GARCH (VARMA-GARCH) model of Ling and McAleer (2003) by...
Dynamic Asymmetric Multivariate GARCH (DAMGARCH) is a new model that extends the Vector ARMA-GARCH (VARMA-GARCH) model of L and MA (2003) by introducing...
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StartPage 125
SubjectTerms Asymmetry
Asymptotic properties
asymptotic theory
conditional variance
Density
Dynamics
Mathematical analysis
Mathematical models
Multivariate analysis
multivariate asymmetry
multivariate news impact curve
News
stationarity conditions
Statistical analysis
Studies
Thresholds
Title Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH
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http://econpapers.repec.org/article/blastanee/v_3a65_3ay_3a2011_3ai_3a2_3ap_3a125-163.htm
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Volume 65
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