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http://dx.doi.org/10.5351/KJAS.2014.27.1.159

News Impact Curves of Volatility for Asymmetric GARCH via LASSO  

Yoon, J.E. (Department of Statistics, Sookmyung Women's University)
Lee, J.W. (Department of Statistics, Sookmyung Women's University)
Hwang, S.Y. (Department of Statistics, Sookmyung Women's University)
Publication Information
The Korean Journal of Applied Statistics / v.27, no.1, 2014 , pp. 159-168 More about this Journal
Abstract
The news impact curve(NIC) originally proposed by Engle and Ng (1993) is a graphical representation of volatility for financial time series. The NIC is a simple but a powerful tool for identifying variability of a given time series. It is noted that the NIC is suited to symmetric volatility. Recently a lot of attention has been paid to asymmetric volatility models and therefore asymmetric version of the NIC would be useful in the field of financial time series. In this article, we propose to incorporate LASSO in constructing asymmetric NICs based on asymmetric GARCH models. In particular, bilinear GARCH models are considered and illustrated via KOSDAQ data.
Keywords
Bilinear GARCH; Lasso; Two dimensional NIC;
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Times Cited By KSCI : 1  (Citation Analysis)
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