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An Empirical Study on Explosive Volatility Test with Possibly Nonstationary GARCH(1, 1) Models
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 Title & Authors
An Empirical Study on Explosive Volatility Test with Possibly Nonstationary GARCH(1, 1) Models
Lee, Sangyeol; Noh, Jungsik;
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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.
GARCH model;Lyapunov exponent;strict stationarity testing;
 Cited by
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재현그림을 통한 우리나라 주식 자료에 대한 탐색적 자료분석,장대흥;

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Skewness of Gaussian Mixture Absolute Value GARCH(1, 1) Model, Communications for Statistical Applications and Methods, 2013, 20, 5, 395  crossref(new windwow)
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