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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;
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