한국데이터정보과학회:학술대회논문집

The Korean Data and Information Science Society (한국데이터정보과학회)
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IGARCH 모형과 Stochastic Volatility 모형의 비교

  • Hwang, S.Y. (Department of Statistics, Sookmyung Women's University) ;
  • Park, J.A. (Department of Statistics, Sookmyung Women's University)
  • Published : 2005.10.30
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Abstract

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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