Template-type: ReDIF-Paper 1.0
Author-Name: Massimiliano Caporin
Author-Email: massimiliano.caporin@unipd.it
Author-Workplace-Name: Department of Economic Sciences University of Padova
Author-Name: Michael McAleer
Author-Workplace-Name: Universidad Complutense de Madrid.Department of Quantitative Economics
Title: Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH
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
Classification-JEL: C32, C51, C52.
Keywords: multivariate asymmetry, conditional variance, stationarity conditions, asymptotic
	theory, multivariate news impact curve.
Length: 50 pages
Creation-Date: 2009
Number: 2009-11
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae0911.txt
File-URL: https://eprints.ucm.es/id/eprint/8609/1/0911.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:0911