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이분산성 시계열 모형(GARCH, IGARCH, EGARCH)들의 성능 비교Comparison of a Class of Nonlinear Time Series models(GARCH, IGARCH, EGARCH)
- Issue Date
- Mar-2006
- Publisher
- 한국통계학회
- Citation
- 응용통계연구, v.19, no.1, pp 33 - 41
- Pages
- 9
- Journal Title
- 응용통계연구
- Volume
- 19
- Number
- 1
- Start Page
- 33
- End Page
- 41
- ISSN
- 1225-066X
- Abstract
- In this paper, we analyse the volatilities in nancial data such as stock prices andexchange rates in term of a class of nonlinear time series models. We compare theperformance of Generalized Autoregressive Conditional Heteroscadastic(GARCH), In-tegrated GARCH(IGARCH), Exponential GARCH(EGARCH) models by KOSPI (Ko-
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