报告题目：“Good”and “Bad” Volatilities: A Threshold Realized Seminvariance GARCH Approach

主讲人：Dinghai Xu, PhD,  Professor，University of Waterloo

讲座时间：2024年4月29日（周一）下午14:00-16:00

讲座地点：商学院大楼218室

邀请部门：金融学系

讲座概要：

In this paper, we explore the realized semivariation measures using high-frequency intraday data within the framework of realized semivariance GARCH by taking an in-depth look. We derive general theoretical expressions for moment conditions of returns and realized semivariation measures, providing a convenient approach to investigate the statistical properties of realized semivariation dynamics. Notably, the introduction of threshold effects in the model reveals several intriguing empirical findings. One significant discovery is that during a substantial decline in returns, the negative realized semivariance exerts a more influential impact on future volatility compared to its positive counterpart. We further examine the forecasting performance under a realized semivariance heterogeneous autoregression environment. The results demonstrate that the inclusion of thresholds and the adoption of an optimal threshold level generally enhance the accuracy of volatility forecasting.

 

报告人简介：

Dinghai Xu，滑铁卢大学（The University of  Waterloo）经济正系教授（终身教职），数学系数理金融硕士联席正教授，博士生导师，国际交流项目主任。研究领域主要为金融计量经济学，论文发表于Journal of Empirical Finance,  Journal  of Financial Econometrics，Econometric Reviews, Quantitative  Finance，Journal of Banking and Finance 等著名期刊。主持、参与多项美国，加拿大，中国的国际科研项目。