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초록
This paper is concerned with volatility computations for high frequency time series. A threshold-asymmetric realized volatility (T-RV) is suggested to capture a leverage effect. The T-RV is compared with various con-ventional volatility computations including standard realized volatility, GARCH-type volatilities, historical volatility and exponentially weighted moving average volatility. High frequency KOSPI data are analyzed for illustration.
키워드
high frequency; realized volatility (RV); threshold-RV; 고빈도 자료; 실현변동성; 분계점 실현변동성
- 제목
- A threshold-asymmetric realized volatility for high frequency financial time series
- 제목 (타언어)
- 비대칭형 분계점 실현변동성의 제안 및 응용
- 저자
- 김지연; 황선영
- 발행일
- 2018-04
- 저널명
- 응용통계연구
- 권
- 31
- 호
- 2
- 페이지
- 205 ~ 216