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Box-Cox transformation for conditional heteroscedasticity in domestic financial time series
- Issue Date
- Jun-2004
- Publisher
- 한국데이터정보과학회
- Keywords
- ARCH; Box-Cox transformation; financial time series; ARCH; Box-Cox transformation; financial time series
- Citation
- 한국데이터정보과학회지, v.15, no.2, pp 413 - 422
- Pages
- 10
- Journal Title
- 한국데이터정보과학회지
- Volume
- 15
- Number
- 2
- Start Page
- 413
- End Page
- 422
- ISSN
- 1598-9402
- Abstract
- Box-Cox power transformation is employed for analyzing volatilities in Korean financial time series such as KOSPI, KOSDAQ index and interest rates. Statistical procedures for Box-Cox transformed ARCH models are presented. For illustration, diverse financial time series data are analyzed and appropriate power transformations are suggested for each data.
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