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http://dx.doi.org/10.5351/KJAS.2006.19.1.033

Comparison of a Class of Nonlinear Time Series models (GARCH, IGARCH, EGARCH)  

Kim S.Y. (Department of Statistics, Chung-Ang University)
Lee Y.H. (Department of Statistics, Chung-Ang University)
Publication Information
The Korean Journal of Applied Statistics / v.19, no.1, 2006 , pp. 33-41 More about this Journal
Abstract
In this paper, we analyse the volatilities in financial data such as stock prices and exchange rates in term of a class of nonlinear time series models. We compare the performance of Generalized Autoregressive Conditional Heteroscadastic(GARCH) , Integrated GARCH(IGARCH), Exponential GARCH(EGARCH) models by KOSPI (Korean stock Prices Index) data. The estimation for the parameters in the models was carried out by the ML methods.
Keywords
Nonlinear Time Series models; KOSPI; Volatility;
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