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Evidence of Taylor Property in Absolute-Value-GARCH Processes for Korean Financial Time Series

Absolute-Value-GARCH 모형을 이용한 국내 금융시계열의 Taylor 성질에 대한 사례연구

Baek, J.S.;Hwang, S.Y.;Choi, M.S.
백지선;황선영;최문선

  • Received : 20091100
  • Accepted : 20091200
  • Published : 2010.02.28

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

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