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제곱수익률 그래프와 TGARCH 모형을 이용한 비대칭 변동성 분석Squared Log-return and TGARCH Model : Asymmetric Volatility in Domestic Time Series
- Other Titles
- Squared Log-return and TGARCH Model : Asymmetric Volatility in Domestic Time Series
- Issue Date
- Nov-2007
- Publisher
- 한국통계학회
- Keywords
- Asymmetric heteroscedasticity; squared log-return; TGARCH(1; 1)
- Citation
- 응용통계연구, v.20, no.3, pp 487 - 497
- Pages
- 11
- Journal Title
- 응용통계연구
- Volume
- 20
- Number
- 3
- Start Page
- 487
- End Page
- 497
- ISSN
- 1225-066X
- Abstract
- As is pointed out by Gourieroux (1997), the volatility eects in nancial time seriesvary according to the signs of the return rates and therefore asymmetric Threshold-GARCH (TGARCH, henceforth) processes are natural extensions of the standardGARCH toward asymmetric volatility modeling. For preliminary detection of asym-metry in volatility, we suggest graphs of squared-log-returns for various nancial timeseries including KOSPI, KOSDAQ and won-Euro exchange rate. Next, asymmetricTGARCH(1,1) model ts are provided in comparisons with standard GARCH(1.1)models.
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