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http://dx.doi.org/10.5351/KJAS.2010.23.1.049

Evidence of Taylor Property in Absolute-Value-GARCH Processes for Korean Financial Time Series  

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.23, no.1, 2010 , pp. 49-61 More about this Journal
Abstract
The time series dependencies of Financial volatility are frequently measured by the autocorrelation function of power-transformed absolute returns. It is known as the Taylor property that the autocorrelations of the absolute returns are larger than those of the squared returns. Hass (2009) developed a simple method for detecting the Taylor property in absolute-value-GAROH(1,1) (AVGAROH(1,1)) model. In this article, we fitted AVGAROH(1,1) model for various Korean financial time series and observed the Taylor property.
Keywords
Taylor property; AVGARCH; dependencies; autocorrelation function; dependency;
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