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초록
High frequency time series are now prevalent in financial data. However, models need to be further developed to suit high frequency time series that account for intraday volatilities since traditional volatility models such as ARCH and GARCH are concerned only with daily volatilities. Due to H\"{o}rmann {\it et al.} (2013), functional ARCH abbreviated as fARCH is proposed to analyze intraday volatilities based on high frequency time series. This article introduces fARCH to readers that illustrate intraday volatility configuration on the KOSPI and the Hyundai motor company based on the data with one minute high frequency.
키워드
fARCH; high frequency; intraday volatility; 고빈도 시계열; 일중(intraday) 변동성; 함수적-ARCH(fARCH)
- 제목
- Functional ARCH (fARCH) for high-frequency time series: illustration
- 제목 (타언어)
- 고빈도 시계열 분석을 위한 함수 변동성 fARCH(1) 모형 소개와 예시
- 저자
- 윤재은; 김종민; 황선영
- 발행일
- 2017-12
- 저널명
- 응용통계연구
- 권
- 30
- 호
- 6
- 페이지
- 983 ~ 991