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초록
Contrasted with the standard symmetric GARCH models, we consider a broad class of threshold-asymmetric models to analyse financial time series exhibiting asymmetric volatility. By further introducing power transformations, we add more flexibilities to the asymmetric class, thereby leading to power transformed and asymmetric volatility models. In particular, the paper is concerned with the nonstationary volatilities in which conditions for integrated volatility and explosive volatility are separately discussed. Dow Jones Industrial Average is analysed for illustration.
키워드
비정상 변동성; 비대칭 변동성; 멱변환; volatility-nonstationary; threshold-asymmetry; power transformation
- 제목
- 분계점 비대칭과 멱변환 특징을 가진 비정상-변동성 모형
- 제목 (타언어)
- Volatility-nonstationary GARCH(1,1) models featuring threshold-asymmetry and power transformation
- 저자
- 최선우; 황선영; 이성덕
- 발행일
- 2020-12
- 저널명
- 응용통계연구
- 권
- 33
- 호
- 6
- 페이지
- 713 ~ 722