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이분산성 시계열 모형(GARCH, IGARCH, EGARCH)들의 성능 비교
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| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | 김삼용 | - |
| dc.contributor.author | 이용흔 | - |
| dc.date.available | 2019-07-18T03:59:38Z | - |
| dc.date.issued | 2006-03 | - |
| dc.identifier.issn | 1225-066X | - |
| dc.identifier.uri | https://scholarworks.bwise.kr/cau/handle/2019.sw.cau/29246 | - |
| dc.description.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- | - |
| dc.format.extent | 9 | - |
| dc.publisher | 한국통계학회 | - |
| dc.title | 이분산성 시계열 모형(GARCH, IGARCH, EGARCH)들의 성능 비교 | - |
| dc.title.alternative | Comparison of a Class of Nonlinear Time Series models(GARCH, IGARCH, EGARCH) | - |
| dc.type | Article | - |
| dc.identifier.bibliographicCitation | 응용통계연구, v.19, no.1, pp 33 - 41 | - |
| dc.identifier.kciid | ART000992307 | - |
| dc.description.isOpenAccess | N | - |
| dc.citation.endPage | 41 | - |
| dc.citation.number | 1 | - |
| dc.citation.startPage | 33 | - |
| dc.citation.title | 응용통계연구 | - |
| dc.citation.volume | 19 | - |
| dc.identifier.url | https://kiss.kstudy.com/thesis/thesis-view.asp?key=2514383 | - |
| dc.publisher.location | 대한민국 | - |
| dc.description.journalRegisteredClass | kci | - |
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