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http://dx.doi.org/10.5351/KJAS.2010.23.4.683

An Analysis of Categorical Time Series Driven by Clipping GARCH Processes  

Choi, M.S. (Department of Statistics, Sookmyung Women's University)
Baek, J.S. (Methodology Division, Statistical Research Institute, Statistics Korea)
Hwan, S.Y. (Department of Statistics, Sookmyung Women's University)
Publication Information
The Korean Journal of Applied Statistics / v.23, no.4, 2010 , pp. 683-692 More about this Journal
Abstract
This short article is concerned with a categorical time series obtained after clipping a heteroscedastic GARCH process. Estimation methods are discussed for the model parameters appearing both in the original process and in the resulting binary time series from a clipping (cf. Zhen and Basawa, 2009). Assuming AR-GARCH model for heteroscedastic time series, three data sets from Korean stock market are analyzed and illustrated with applications to calculating certain probabilities associated with the AR-GARCH process.
Keywords
Clipping; categorical time series; heteroscedastic GARCH;
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