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http://dx.doi.org/10.5762/KAIS.2017.18.4.260

A Study on the Volatility Analysis of Economic Indicators Using Extended Bayesian Information Criteria  

Jeon, Jin-Ho (Dept. of Business Administration, Catholic Kwan-Dong University)
Publication Information
Journal of the Korea Academia-Industrial cooperation Society / v.18, no.4, 2017 , pp. 260-266 More about this Journal
Abstract
The global economy, including Korea, has continuously searched for various market-friendly policies and new economic systems in pursuit of the forth industrial revolution. As a result, economic markets have grown, and factors affecting markets have diversified. Therefore, as for many company's decision makers, it has become an important issue to analyze and forecast markets accurately and effectively for rapid and appropriate decision making. In this study, we aim to improve the accuracy and validity of forecast models by applying extended information criteria in existing restricted information criteria to determine optimized modeling for the accurate analysis and prediction of complex market environments. In order to verify the practical use of the extended information criteria adopted in this study, we compare this study employing KOSPI data with previous studies. Experimental results show that applying extended information criteria is more accurate than using the existing information criteria.
Keywords
Bayesian; Information Criteria; Economic Indicators; Volatility; Forecast;
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