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http://dx.doi.org/10.5351/KJAS.2015.28.6.1163

Volatility Computations for Financial Time Series: High Frequency and Hybrid Method  

Yoon, J.E. (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.28, no.6, 2015 , pp. 1163-1170 More about this Journal
Abstract
Various computational methods for obtaining volatilities for financial time series are reviewed and compared with each other. We reviewed model based GARCH approach as well as the data based method which can essentially be regarded as a smoothing technique applied to the squared data. The method for high frequency data is focused to obtain the realized volatility. A hybrid method is suggested by combining the model based GARCH and the historical volatility which is a data based method. Korea stock prices are analysed to illustrate various computational methods for volatilities.
Keywords
GARCH; high frequency data; hybrid volatility;
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