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Volatility Computations for Financial Time Series: High Frequency and Hybrid Method
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 Title & Authors
Volatility Computations for Financial Time Series: High Frequency and Hybrid Method
Yoon, J.E.; Hwang, S.Y.;
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 Abstract
Various computational methods for obtaining volatilities for financial time series are reviewed and compared with each other. We reviewed model based GARCH approach as well as the data based method which can essentially be regarded as a smoothing technique applied to the squared data. The method for high frequency data is focused to obtain the realized volatility. A hybrid method is suggested by combining the model based GARCH and the historical volatility which is a data based method. Korea stock prices are analysed to illustrate various computational methods for volatilities.
 Keywords
GARCH;high frequency data;hybrid volatility;
 Language
Korean
 Cited by
1.
A recent overview on financial and special time series models, Korean Journal of Applied Statistics, 2016, 29, 1, 1  crossref(new windwow)
2.
Choice of weights in a hybrid volatility based on high-frequency realized volatility, Korean Journal of Applied Statistics, 2016, 29, 3, 505  crossref(new windwow)
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