报告时间：2025年7月15日下午16：00-17：00

报告地点：育才校区第二文科楼北楼206会议室

报告题目：Modeling “Good” and “Bad” Volatilities under a General Threshold Realized Semivariance GARCH

报告人：徐定海（Xu Dinghai），加拿大滑铁卢大学（The University of  Waterloo）经济系教授

报告内容：This study investigates the positive and negative realized semivariances within a general threshold realized GARCH framework. Our proposed models provide flexible frameworks to address a variety of practical scenarios in financial markets. Specifically, they accommodate two common types of regime switches: (1) triggered by economic variables, and (2) driven by structural breaks over time. General closed-form solutions of moment conditions for the proposed model are derived, offering a convenient channel to study the regime specific characteristics of the dynamics of positive and negative realized volatility measures. Monte Carlo experiments are conducted to evaluate the

performance of the proposed model and estimation algorithm. The empirical analysis involves applying the models to 26 Dow Jones stocks and the S&P 500 index. The findings of both the simulation and empirical analyses offer supportive evidence for the decomposition of volatility into “good” and “bad” components within threshold realized GARCH framework.

报告人简介：Xu,Dinghai（徐定海），滑铁卢大学（The University of  Waterloo）经济系正教授（终身教职），数学学院数理金融硕士联席正教授，博士生导师，滑铁卢大学国际交流项目主任。研究领域主要为金融计量经济学，量化金融, 计量/统计理论。论文发表于Journal  of Financial Econometrics ，Journal of Banking and Finance ， Journal of Empirical Finance,  Econometric Reviews,  Quantitative  Finance， International Review of Economics and Finance， Journal of Derivatives 等著名期刊。主持、参与多项美国，加拿大，中国的国际社科/自科科研项目。