비대칭-비정상 변동성 모형 평가를 위한 모수적-붓스트랩
DC Field | Value | Language |
---|---|---|
dc.contributor.author | 황선영 | - |
dc.contributor.author | 최선우 | - |
dc.contributor.author | 윤재은 | - |
dc.contributor.author | 이성덕 | - |
dc.date.accessioned | 2022-04-19T09:06:06Z | - |
dc.date.available | 2022-04-19T09:06:06Z | - |
dc.date.issued | 2021-08 | - |
dc.identifier.issn | 1225-066X | - |
dc.identifier.issn | 2383-5818 | - |
dc.identifier.uri | https://scholarworks.sookmyung.ac.kr/handle/2020.sw.sookmyung/146452 | - |
dc.description.abstract | 본 논문에서는 변동성의 비대칭성과 비정상성을 동시에 고려하고 있다. 다양한 변동성 모형을 분석하고 있으며 모수적-붓스트랩을 통한 예측분포를 이용하여 변동성 모형의 예측 성능을 비교하고 있다. 오차항 분포로서 표준정규분포 및 표준화 t-분포를 고려하였으며 1-시차 후 예측과 2-시차 후 예측을 미국의 다우지수 사례를 통해 설명하였다. | - |
dc.description.abstract | With a wide recognition that financial time series typically exhibits asymmetry patterns in volatility so called leverage effects, various asymmetric GARCH(1, 1) processes have been introduced to investigate asymmetric volatilities. A lot of researches have also been directed to non-stationary volatilities to deal with frequent high ups and downs in financial time series. This article is concerned with both asymmetric and non-stationary GARCH-type models. As a subsequent paper of Choi et al. (2020), we review various asymmetric and non-stationary GARCH(1, 1) processes, and in turn propose how to compare competing models using a parametric bootstrap methodology. As an illustration, Dow Jones Industrial Average (DJIA) is analyzed. | - |
dc.format.extent | 12 | - |
dc.language | 한국어 | - |
dc.language.iso | KOR | - |
dc.publisher | 한국통계학회 | - |
dc.title | 비대칭-비정상 변동성 모형 평가를 위한 모수적-붓스트랩 | - |
dc.title.alternative | Asymmetric and non-stationary GARCH($1,1$) models: parametric bootstrap to evaluate forecasting performance | - |
dc.type | Article | - |
dc.publisher.location | 대한민국 | - |
dc.identifier.doi | 10.5351/KJAS.2021.34.4.611 | - |
dc.identifier.wosid | 000744250900008 | - |
dc.identifier.bibliographicCitation | 응용통계연구, v.34, no.4, pp 611 - 622 | - |
dc.citation.title | 응용통계연구 | - |
dc.citation.volume | 34 | - |
dc.citation.number | 4 | - |
dc.citation.startPage | 611 | - |
dc.citation.endPage | 622 | - |
dc.type.docType | Article | - |
dc.identifier.kciid | ART002748134 | - |
dc.description.isOpenAccess | N | - |
dc.description.journalRegisteredClass | esci | - |
dc.description.journalRegisteredClass | kci | - |
dc.relation.journalResearchArea | Mathematics | - |
dc.relation.journalWebOfScienceCategory | Statistics & Probability | - |
dc.subject.keywordAuthor | asymmetric volatility | - |
dc.subject.keywordAuthor | non-stationary volatility | - |
dc.subject.keywordAuthor | parametric bootstrap | - |
dc.subject.keywordAuthor | 비대칭 변동성 | - |
dc.subject.keywordAuthor | 비정상 변동성 | - |
dc.subject.keywordAuthor | 모수적 붓스트랩 | - |
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.
Sookmyung Women's University. Cheongpa-ro 47-gil 100 (Cheongpa-dong 2ga), Yongsan-gu, Seoul, 04310, Korea02-710-9127
Copyright©Sookmyung Women's University. All Rights Reserved.
Certain data included herein are derived from the © Web of Science of Clarivate Analytics. All rights reserved.
You may not copy or re-distribute this material in whole or in part without the prior written consent of Clarivate Analytics.