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Functional ARCH analysis for a choice of time interval in intraday return via multivariate volatility함수형 ARCH 분석 및 다변량 변동성을 통한 일중 로그 수익률 시간 간격 선택
- Other Titles
- 함수형 ARCH 분석 및 다변량 변동성을 통한 일중 로그 수익률 시간 간격 선택
- Authors
- Kim, D. H.; Yoon, J. E.; Hwang, S. Y.
- Issue Date
- Jun-2020
- Publisher
- KOREAN STATISTICAL SOC
- Keywords
- fARCH; high frequency time series; multivariate volatility
- Citation
- KOREAN JOURNAL OF APPLIED STATISTICS, v.33, no.3, pp 297 - 308
- Pages
- 12
- Journal Title
- KOREAN JOURNAL OF APPLIED STATISTICS
- Volume
- 33
- Number
- 3
- Start Page
- 297
- End Page
- 308
- ISSN
- 1225-066X
2383-5818
- Abstract
- We focus on the functional autoregressive conditional heteroscedasticity (fARCH) modelling to analyze intraday volatilities based on high frequency financial time series. Multivariate volatility models are investigated to approximate fARCH(1). A formula of multi-step ahead volatilities for fARCH(1) model is derived. As an application, in implementing fARCH(1), a choice of appropriate time interval for the intraday return is discussed. High frequency KOSPI data analysis is conducted to illustrate the main contributions of the article.
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