A general multivariate threshold GARCH model with dynamic conditional correlations

  title={A general multivariate threshold GARCH model with dynamic conditional correlations},
  author={Francesco Audrino and Fabio Trojani},
We introduce a new multivariate GARCH model with multivariate thresholds in conditional correlations, and develop a two-step estimation procedure that is feasible in large dimensional applications. Optimal threshold functions are estimated endogenously from the data, and the model conditional covariance matrix is ensured to be positive definite. We study the empirical performance of our model in three applications using US stock and bond market data. The conditional volatility of stock returns… CONTINUE READING


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