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초록
As is pointed out by Gourieroux (1997), the volatility eects in nancial time seriesvary according to the signs of the return rates and therefore asymmetric Threshold-GARCH (TGARCH, henceforth) processes are natural extensions of the standardGARCH toward asymmetric volatility modeling. For preliminary detection of asym-metry in volatility, we suggest graphs of squared-log-returns for various nancial timeseries including KOSPI, KOSDAQ and won-Euro exchange rate. Next, asymmetricTGARCH(1,1) model ts are provided in comparisons with standard GARCH(1.1)models.
키워드
Asymmetric heteroscedasticity; squared log-return; TGARCH(1; 1)
- 제목
- 제곱수익률 그래프와 TGARCH 모형을 이용한 비대칭 변동성 분석
- 제목 (타언어)
- Squared Log-return and TGARCH Model : Asymmetric Volatility in Domestic Time Series
- 저자
- 박진아; 송유진; 백지선; 황선영; 최문선
- 발행일
- 2007-11
- 저널명
- 응용통계연구
- 권
- 20
- 호
- 3
- 페이지
- 487 ~ 497