An Empirical Study on Explosive Volatility Test with Possibly Nonstationary GARCH(1, 1) Models Lee, Sangyeol; Noh, Jungsik;
In this paper, we implement an empirical study to test whether the time series of daily returns in stock and Won/USD exchange markets is strictly stationary or explosive. The results indicate that only a few series show nonstationary volatility when dramatic events erupted; in addition, this nonstationary behavior occurs more often in the Won/USD exchange market than in the stock market.
Skewness of Gaussian Mixture Absolute Value GARCH(1, 1) Model, Communications for Statistical Applications and Methods, 2013, 20, 5, 395
Exploratory Data Analysis for Korean Stock Data with Recurrence Plots, Korean Journal of Applied Statistics, 2013, 26, 5, 807
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