Analyzing financial time series data using the GARCH model

일반 자기회귀 이분산 모형을 이용한 시계열 자료 분석

  • Kim, Sahm (Department of Statistics, Chung-Ang University) ;
  • Kim, Jin-A (Department of Statistics, Chung-Ang University)
  • Published : 2009.05.31

Abstract

In this paper we introduced a class of nonlinear time series models to analyse KOSPI data. We introduce the Generalized Power-Transformation TGARCH (GPT-TGARCH) model and the model includes Zakoian (1993) and Li and Li (1996) models as the special cases. We showed the effectiveness and efficiency of the new model based on KOSPI data.

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