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초록
IGARCH and Stochastic Volatility Model(SVM, for short) have frequently provided useful approximations to the real aspects of financial time series. This article is concerned with modeling various Korean financial time series using both IGARCH and stochastic volatility models. Daily data sets with sample period ranging from 2000 and 2004 including KOSPI, KOSDAQ and won-dollar exchange rate are comparatively analyzed using IGARCH and SVM.
키워드
IGARCH; Korean financial time series; Stochastic volatility; IGARCH; Korean financial time series; Stochastic volatility
- 제목
- IGARCH and Stochastic Volatility : Case Study
- 저자
- 황선영; 박진아
- 발행일
- 2005-12
- 저널명
- 한국데이터정보과학회지
- 권
- 16
- 호
- 4
- 페이지
- 835 ~ 841