Browse > Article
http://dx.doi.org/10.5351/KJAS.2003.16.2.217

Stochastic Volatility Model vs. GARCH Model : A Comparative Study  

이용흔 (중앙대학교 통계학과)
김삼용 (중앙대학교 통계학과)
황선영 (숙명여자대학교 통계학과)
Publication Information
The Korean Journal of Applied Statistics / v.16, no.2, 2003 , pp. 217-224 More about this Journal
Abstract
The volatility in the financial data is usually measured by conditional variance. Two main streams for gauging conditional variance are stochastic volatility (SV) model and autoregressive type approach (GARCH). This article is conducting comparative study between SV and GARCH through the Korean Stock Prices Index (KOSPI) data. It is seen that SV model is slightly better than GARCH(1,1) in analyzing KOSPI data.
Keywords
GARCH; KOSPI; MCMC; Volatility;
Citations & Related Records
연도 인용수 순위
  • Reference
1 Markov chain Monte Carlo simulation methods in econometrics /
[ Chib,S.;Greenberg,E. ] / Econometric Theory   DOI   ScienceOn
2 Generalized autoregressive conditional heteroskedasticity /
[ Bollerslev,T. ] / Journal of Econometrics
3 /
[ Tanner,M.A. ] / Tools for Statistical Inference, Methods for the Exploration of Posterior Distribution and Likelihood Function
4 Stochastic relaxation, Gibbs distributions, and the Bayesian reconstruction of images /
[ Geman,D.;Geman,S. ] / IEEE Transactions on Pattern Analysis and Machine Intelligence   DOI   ScienceOn
5 Stochastic Volatility; Likelihood Inference and Comparison with ARCH Models /
[ Kim,S.;Shephard,N.;Chib,S. ] / Review of Economic Studies   DOI   ScienceOn
6 Explaining the Gibbs sampler /
[ Casella,G.;George,E.I. ] / The American Statistician   DOI   ScienceOn
7 Sampling-based approaches to calculating marginal densities /
[ Gelfand,A.E.;Smith,A.F.M. ] / Journal of the American Statistical Association   DOI   ScienceOn