Title: “Good”and “Bad” Volatilities: A Threshold Realized Seminvariance GARCH Approach

Lecturer: Dinghai Xu, PhD,  Professor，University of Waterloo

Time: 14:00-16:00 pm April 29th 2024 (Monday)

Venue: Room 218

Organizer: Department of Finance

Synopsis:

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.

Introduction to the Lecturer:

Prof. XU Dinghai is a tenured professor in the Department of Economics, a joint professor in the Department of Mathematics, a PhD supervisor, and the director of the International Exchange Program at the University of Waterloo. His research focuses on financial econometrics, and his papers have been published in Journal of Empirical Finance, Journal of Financial Econometrics, Econometric Reviews, Quantitative Finance, Journal of Banking and Finance, and other prestigious journals. He has led and participated in a number of international research projects in the United States, Canada, and China.