00000nam 2200000za 4500 9.856758 CaOODSP 20221107155615 cr ||||||||||| 180518s2018 oncd ob f000 0 eng d CaOODSP eng eng fre FB3-5/2018-21E-PDF Goldman, Elena. Analysis of asymmetric GARCH volatility models with applications to margin measurement [electronic resource] / by Elena Goldman and Xiangjin Shen. [Ottawa] : Bank of Canada, 2018. ii, 54 p. : col. charts. Bank of Canada staff working paper, 1701-9397 ; 2018-21 "May 2018." Includes bibliographical references. "We explore properties of asymmetric generalized autoregressive conditional heteroscedasticity (GARCH) models in the threshold GARCH (GTARCH) family and propose a more general Spline-GTARCH model, which captures high-frequency return volatility, low-frequency macroeconomic volatility as well as an asymmetric response to past negative news in both autoregressive conditional heteroscedasticity (ARCH) and GARCH terms. Based on maximum likelihood estimation of S&P 500 returns, S&P/TSX returns and Monte Carlo numerical example, we find that the proposed more general asymmetric volatility model has better fit, higher persistence of negative news, higher degree of risk aversion and significant effects of macroeconomic variables on the low-frequency volatility component. We then apply a variety of volatility models in setting initial margin requirements for a central clearing counterparty (CCP). Finally, we show how to mitigate procyclicality of initial margins using a three-regime threshold autoregressive model"--Abstract, p. ii. Includes abstract in French. Clearinghouses (Banking) Payment Econometrics Shen, Xiangjin. Bank of Canada. Staff working paper (Bank of Canada) 1701-9397 ; 2018-21. (CaOODSP)9.806221 PDF 737 KB https://publications.gc.ca/collections/collection_2018/banque-bank-canada/FB3-5-2018-21-eng.pdf