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초록
Various computational methods for obtaining volatilities for financial time series are reviewed and compared with each other. We reviewed model based GARCH approach as well as the data based method which can essentially be regarded as a smoothing technique applied to the squared data. The method for high frequency data is focused to obtain the realized volatility. A hybrid method is suggested by combining the model based GARCH and the historical volatility which is a data based method. Korea stock prices are analysed to illustrate various computational methods for volatilities.
키워드
GARCH; high frequency data; hybrid volatility; GARCH; 고빈도 자료 기반 방법; 융합 방법.
- 제목
- Volatility computations for financial time series : high frequency and hybrid method
- 제목 (타언어)
- 금융시계열 변동성 측정 방법의 비교 분석: 고빈도 자료 및 융합 방법
- 저자
- 윤재은; 황선영
- 발행일
- 2015-12
- 저널명
- 응용통계연구
- 권
- 28
- 호
- 6
- 페이지
- 1163 ~ 1170