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I-TGARCH Models and Persistent Volatilities with Applications to Time Series in Korea
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 Title & Authors
I-TGARCH Models and Persistent Volatilities with Applications to Time Series in Korea
Hong, S.Y.; Choi, S.M.; Park, J.A.; Baek, J.S.; Hwang, S.Y.;
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TGARCH models characterized by asymmetric volatilities have been useful for analyzing various time series in financial econometrics. We are concerned with persistent volatility in the TGARCH context. Park et al. (2009) introduced I-TGARCH process exhibiting a certain persistency in volatility. This article applies I-TGARCH model to various financial time series in Korea and it is obtained that I-TGARCH provides a better fit than competing models.
Persistent volatility;asymmetric TGARCH;log-return;back-testing;
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