Browse > Article
http://dx.doi.org/10.5351/KJAS.2007.20.3.487

Squared Log-return and TGARCH Model : Asymmetric Volatility in Domestic Time Series  

Park, J.A. (Department of Statistics, Sookmyung Women's University)
Song, Y.J. (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)
Choi, M.S. (Department of Statistics, Sookmyung Women's University)
Publication Information
The Korean Journal of Applied Statistics / v.20, no.3, 2007 , pp. 487-497 More about this Journal
Abstract
As is pointed out by Gourieroux (1997), the volatility effects in financial time series vary according to the signs of the return rates and therefore asymmetric Threshold-GARCH (TGARCH, henceforth) processes are natural extensions of the standard GARCH toward asymmetric volatility modeling. For preliminary detection of asymmetry in volatility, we suggest graphs of squared-log-returns for various financial time series including KOSPI, KOSDAQ and won-Euro exchange rate. Next, asymmetric TGARCH(1,1) model fits are provided in comparisons with standard GARCH(1.1) models.
Keywords
Asymmetric heteroscedasticity; squared log-return; TGARCH(1,1);
Citations & Related Records
Times Cited By KSCI : 1  (Citation Analysis)
연도 인용수 순위
1 박진아, 황선영, 백지선 (2007). 국내 금융시계열의 누적(integrated)이분산성에 대한 사례분석, <응용통계연구>, 20, 53-60   과학기술학회마을   DOI
2 Black, F. (1976). Studies of Stock Price Volatility Changes, Proceedings of the 1976 Meeting of the Businiess and Economic Statistics Section, American Statistical Association, 177-181
3 Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics, 31, 307-327   DOI   ScienceOn
4 Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation, Econometrica, 50, 987-1007   DOI   ScienceOn
5 Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach, Econometrica, 59, 347-370   DOI   ScienceOn
6 Glosten, L. R., Jagannathan, R. and Runkle, D. E. (1993). On the relation between the expected value and the volatility of the nominal excess return on stocks, The Journal of Finance, 48, 1779-1801   DOI
7 Rabemananjara, R. and Zakoian, J. M. (1993). Threshold ARCH models and asymmetries in volatility, Journal of Applied Econometrics, 8, 31-49   DOI   ScienceOn