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96年5月25日(五) 2:00 ~3:00 P.M.
演講者姓名： Dr. Mike K. P. So
演講者服務單位： Department of Information and Systems Management, The Hong Kong University of Science and Technology, Hong Kong
演講題目： On a Threshold Multivariate GARCH Model摘要： This paper proposes a threshold multivariate GARCH model (Threshold MGARCH) which integrates threshold nonlinearity, mean and volatility asymmetries and time-varying correlation in financial markets. The main feature of this model is that the mean, volatility and time-varying correlation can be governed by different threshold variables with different number of regimes. Estimation is performed using Markov Chain Monte Carlo methods. Forecasts of volatility and value at risk can be generated from the predictive distributions. The proposed methodology is illustrated using high-dimensional simulated and international market data.
