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초록
This paper investigates volatilities of stock returns based on high frequency data from stock market. Incorporating the price duration as one of the factors in volatility, we employ the autoregressive conditional duration (ACD) model for the price duration in addition to the GARCH model to analyze stock volatilities. A combined ACD-GARCH model is analyzed in which a double-threshold is introduced to accommodate asymmetric features on stock volatilities.
키워드
ACD; high frequency GARCH; double-threshold ACD-GARCH; ACD; 고빈도-GARCH; 이중-분계점 ACD-GARCH
- 제목
- Stock return volatility based on intraday high frequency data: double-threshold ACD-GARCH model
- 제목 (타언어)
- 이중-분계점 ACD-GARCH 모형을 이용한 일중 고빈도 자료의 주식 수익률 변동성 분석
- 저자
- 정선아; 황선영
- 발행일
- 2016-02
- 저널명
- 응용통계연구
- 권
- 29
- 호
- 1
- 페이지
- 221 ~ 230