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IGARCH and Stochastic Volatility : Case Study

Authors
황선영박진아
Issue Date
Dec-2005
Publisher
한국데이터정보과학회
Keywords
IGARCH; Korean financial time series; Stochastic volatility; IGARCH; Korean financial time series; Stochastic volatility
Citation
한국데이터정보과학회지, v.16, no.4, pp 835 - 841
Pages
7
Journal Title
한국데이터정보과학회지
Volume
16
Number
4
Start Page
835
End Page
841
URI
https://scholarworks.sookmyung.ac.kr/handle/2020.sw.sookmyung/15580
ISSN
1598-9402
Abstract
IGARCH and Stochastic Volatility Model(SVM, for short) have frequently provided useful approximations to the real aspects of financial time series. This article is concerned with modeling various Korean financial time series using both IGARCH and stochastic volatility models. Daily data sets with sample period ranging from 2000 and 2004 including KOSPI, KOSDAQ and won-dollar exchange rate are comparatively analyzed using IGARCH and SVM.
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