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초록
We focus on the functional autoregressive conditional heteroscedasticity (fARCH) modelling to analyze intraday volatilities based on high frequency financial time series. Multivariate volatility models are investigated to approximate fARCH(1). A formula of multi-step ahead volatilities for fARCH(1) model is derived. As an application, in implementing fARCH(1), a choice of appropriate time interval for the intraday return is discussed. High frequency KOSPI data analysis is conducted to illustrate the main contributions of the article.
키워드
fARCH; high frequency time series; multivariate volatility; VARIANCE
- 제목
- Functional ARCH analysis for a choice of time interval in intraday return via multivariate volatility
- 제목 (타언어)
- 함수형 ARCH 분석 및 다변량 변동성을 통한 일중 로그 수익률 시간 간격 선택
- 저자
- Kim, D. H.; Yoon, J. E.; Hwang, S. Y.
- 발행일
- 2020-06
- 유형
- Article
- 저널명
- 응용통계연구
- 권
- 33
- 호
- 3
- 페이지
- 297 ~ 308