Journal of the Korean Data and Information Science Society

The Korean Data and Information Science Society (한국데이터정보과학회)
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Box-Cox Transformation for Conditional Heteroscedasticity in Domestic Financial Time Series

  • Hwang, S.Y. (Department of Statistics, Sookmyung Women's Univ.) ;
  • Lee, J.H. (Department of Statistics, Sookmyung Women's Univ.)
  • Published : 2004.05.31
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Abstract

Box-Cox power transformation is employed for analyzing volatilities in Korean financial time series such as KOSPI, KOSDAQ index and interest rates. Statistical procedures for Box-Cox transformed ARCH models are presented. For illustration, diverse financial time series data are analyzed and appropriate power transformations are suggested for each data.

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