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http://dx.doi.org/10.13160/ricns.2011.4.2.121

Estimation of Volatility of Korea Stock Price Index Using Winbugs  

Kim, Hyoung Min (Department of Computer Science & Statistics, College of Natural Sciences)
Chang, In Hong (Department of Computer Science & Statistics, College of Natural Sciences)
Lee, Seung Woo (Department of Computer Science & Statistics, College of Natural Sciences)
Publication Information
Journal of Integrative Natural Science / v.4, no.2, 2011 , pp. 121-129 More about this Journal
Abstract
The purpose of this paper is to estimate the fluctuation of an earning rate and risk management using the price index of Korea stocks. After an observation of conception of fluctuation, we can show volatility clustering and fluctuation phenomenon in the Korea stock price index using GARCH model with heteroscedasticity. In addition, the effects of fluctuation on the time-series was evaluated, which showed the heteroscedasticity. MCMC method and Winbugs as Bayesian computation were used for analysis.
Keywords
GARCH Model; MCMC; Volatility; Winbugs;
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