The generalized autoregressive conditional heteroskedasticity (GARCH) process is an econometric term used to describe an approach to estimate volatility in financial markets.

Davidson (2004) recently proposed the hyperbolic GARCH model to capture the phenomenon of longrange dependence in volatility, with the extent of such dependence measured by the geometric or hyperbolic ...

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.