[KSCI] Korea Science Citation Index Service

http://dx.doi.org/10.5351/KJAS.2007.20.1.053

Evidence of Integrated Heteroscedastic Processes for Korean Financial Time Series

Park, J.A. (Department of Stastics, Sookmyung Women's University)
Baek, J.S. (Department of Stastics, Sookmyung Women's University)
Hwang, S.Y. (Department of Stastics, Sookmyung Women's University)

Publication Information

The Korean Journal of Applied Statistics / v.20, no.1, 2007 , pp. 53-60 More about this Journal

Abstract

Conditionally heteroscedastic time series models such as GARCH processes have frequently provided useful approximations to the real aspects of financial time series. It is not uncommon that financial time series exhibits near non-stationary, say, integrated phenomenon. For stationary GARCH processes, a shock to the current conditional variance will be exponentially converging to zero and thus asymptotically negligible for the future conditional variance. However, for the case of integrated process, the effect will remain for a long time, i.e., we have a persistent effect of a current shock on the future observations. We are here concerned with providing empirical evidences of persistent GARCH(1,1) for various fifteen domestic financial time series including KOSPI, KOSDAQ and won-dollar exchange rate. To this end, kurtosis and Integrated-GARCH(1,1) fits are reported for each data.

Keywords

IGARCH(1,1); persistent effect; Korean financial time series;

Citations & Related Records

Reference

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1	Squared Log-return and TGARCH Model : Asymmetric Volatility in Domestic Time Series / [Park, J.A.;Song, Y.J.;Baek, J.S.;Hwang, S.Y.;Choi, M.S.;] / The Korean Journal of Applied Statistics
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KSCI

Evidence of Integrated Heteroscedastic Processes for Korean Financial Time Series 국내 금융시계열의 누적(INTEGRATED)이분산성에 대한 사례분석

Evidence of Integrated Heteroscedastic Processes for Korean Financial Time Series