Journal of the Korean Data and Information Science Society

한국데이터정보과학회 (The Korean Data and Information Science Society)
권호 표지

IGARCH and Stochastic Volatility : Case Study

  • Hwang, S.Y. (Department of Statistics, Sookmyung Women's Univ.) ;
  • Park, J.A. (Department of Statistics, Sookmyung Women's Univ.)
  • 발행 : 2005.11.30
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초록

IGARCH and Stochastic Volatility Model(SVM, for short) have frequently provided useful approximations to the real aspects of financial time series. This article is concerned with modeling various Korean financial time series using both IGARCH and stochastic volatility models. Daily data sets with sample period ranging from 2000 and 2004 including KOSPI, KOSDAQ and won-dollar exchange rate are comparatively analyzed using IGARCH and SVM.

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참고문헌

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