The Korean Journal of Applied Statistics (응용통계연구)

The Korean Statistical Society (한국통계학회)
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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. (Department of Statistics, Sookmyung Women's University) ;
  • Hwang, S.Y. (Department of Statistics, Sookmyung Women's University) ;
  • Choi, M.S. (Department of Statistics, Sookmyung Women's University)
  • 백지선 (숙명여자대학교 통계학과) ;
  • 황선영 (숙명여자대학교 통계학과) ;
  • 최문선 (숙명여자대학교 통계학과)
  • Received : 20091100
  • Accepted : 20091200
  • Published : 2010.02.28
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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.

금융시계열 변동성의 의존성(dependency)은 멱변환된 절대수익률의 자기상관함수를 이용하여 측정할 수 있다. 이때, 절대수익률의 자기상관이 제곱수익률의 자기상관보다 더 강하게 나타나는 성질을 Taylor 성질이라고 한다. 본 논문에서는 여러 가지 국내 금융시계열 자료에 대하여 absolute-value GARCH(1,1)(AVGARCH(1,1)) 모형을 적합하고, Haas (2009)가 제안한 방법을 이용하여 Taylor 성질의 존재여부에 대하여 살펴보았다.

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References

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