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Evidence of Taylor Property in Absolute-Value-GARCH Processes for Korean Financial Time Series
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 Title & Authors
Evidence of Taylor Property in Absolute-Value-GARCH Processes for Korean Financial Time Series
Baek, J.S.; Hwang, S.Y.; Choi, M.S.;
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 Abstract
The time series dependencies of Financial volatility are frequently measured by the autocorrelation function of power-transformed absolute returns. It is known as the Taylor property that the autocorrelations of the absolute returns are larger than those of the squared returns. Hass (2009) developed a simple method for detecting the Taylor property in absolute-value-GAROH(1,1) (AVGAROH(1,1)) model. In this article, we fitted AVGAROH(1,1) model for various Korean financial time series and observed the Taylor property.
 Keywords
Taylor property;AVGARCH;dependencies;autocorrelation function;dependency;
 Language
Korean
 Cited by
 References
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