Caporin, Massimiliano; McAleer, Michael - Institute of Economic Research, Kyoto University - 2010
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....