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http://dx.doi.org/10.5351/CKSS.2009.16.4.605

I-TGARCH Models and Persistent Volatilities with Applications to Time Series in Korea  

Hong, S.Y. (Department of Statistics, Sookmyung Women's University)
Choi, S.M. (Department of Statistics, Sookmyung Women's University)
Park, J.A. (Department of Statistics, Sookmyung Women's University)
Baek, J.S. (Department of Statistics, Sookmyung Women's University)
Hwang, S.Y. (Department of Statistics, Sookmyung Women's University)
Publication Information
Communications for Statistical Applications and Methods / v.16, no.4, 2009 , pp. 605-614 More about this Journal
Abstract
TGARCH models characterized by asymmetric volatilities have been useful for analyzing various time series in financial econometrics. We are concerned with persistent volatility in the TGARCH context. Park et al. (2009) introduced I-TGARCH process exhibiting a certain persistency in volatility. This article applies I-TGARCH model to various financial time series in Korea and it is obtained that I-TGARCH provides a better fit than competing models.
Keywords
Persistent volatility; asymmetric TGARCH; log-return; back-testing;
Citations & Related Records
Times Cited By KSCI : 2  (Citation Analysis)
연도 인용수 순위
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