분계점 비대칭과 멱변환 특징을 가진 비정상-변동성 모형Volatility-nonstationary GARCH(1,1) models featuring threshold-asymmetry and power transformation
- Other Titles
- Volatility-nonstationary GARCH(1,1) models featuring threshold-asymmetry and power transformation
- Authors
- 최선우; 황선영; 이성덕
- Issue Date
- Dec-2020
- Publisher
- 한국통계학회
- Keywords
- 비정상 변동성; 비대칭 변동성; 멱변환; volatility-nonstationary; threshold-asymmetry; power transformation
- Citation
- 응용통계연구, v.33, no.6, pp 713 - 722
- Pages
- 10
- Journal Title
- 응용통계연구
- Volume
- 33
- Number
- 6
- Start Page
- 713
- End Page
- 722
- URI
- https://scholarworks.sookmyung.ac.kr/handle/2020.sw.sookmyung/936
- DOI
- 10.5351/KJAS.2020.36.6.713
- ISSN
- 1225-066X
- Abstract
- Contrasted with the standard symmetric GARCH models, we consider a broad class of threshold-asymmetric models to analyse financial time series exhibiting asymmetric volatility. By further introducing power transformations, we add more flexibilities to the asymmetric class, thereby leading to power transformed and asymmetric volatility models. In particular, the paper is concerned with the nonstationary volatilities in which conditions for integrated volatility and explosive volatility are separately discussed. Dow Jones Industrial Average is analysed for illustration.
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