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EGARCH 모형과 GJR-GARCH 모형을 이용한 비대칭 변동성 분석 : Empirical analysis of stock asymmetric volatility based on EGARCH and GJR-GARCH model
DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | 임요한 | - |
dc.contributor.author | 정현석 | - |
dc.date.accessioned | 2017-07-19T08:44:00Z | - |
dc.date.available | 2017-07-19T08:44:00Z | - |
dc.date.issued | 2014-02 | - |
dc.identifier.other | 000000016849 | - |
dc.identifier.uri | https://hdl.handle.net/10371/131275 | - |
dc.description | 학위논문 (석사)-- 서울대학교 대학원 : 통계학과, 2014. 2. 임요한. | - |
dc.description.abstract | This paper investigate the time series behavior of stock returns for KOSDAQ, KOSPI daily index. The Volatility effects in financial time series vary according to the signs of the return rates. Asymmetric EGARCH and GJR-GARCH processes extend standard GARCH toward asymmetric volatility modeling. As preliminary to detection of asymmetry in volatility, we suggest graphs of squared-log-returns for various financial time series including KOSDAQ, KOSDAQ100, KOSPI, KOSPI200. Next, asymmetric EGARCH(1,1) and GJR-GARCH(1,1) model fits are provided in comparisons with standard GARCH(1,1) models. Analysing these models suggests that asymmetric effect on the conditional volatility of stock return rates certainly exists. | - |
dc.description.tableofcontents | Abstract ⅱ
1.Introduction 1 2.The data and time series plot 3 3. Related models 7 3.1 ARCH model 7 3.2 GARCH model 8 3.3 EGARCH model 9 3.4 GJR-GARCH model 10 4.Empirical results 12 5.Conclusion 23 Bibliography 24 국문초록 26 | - |
dc.format | application/pdf | - |
dc.format.extent | 543111 bytes | - |
dc.format.medium | application/pdf | - |
dc.language.iso | en | - |
dc.publisher | 서울대학교 대학원 | - |
dc.subject | Asymmetric volatility | - |
dc.subject | KOSDAQ | - |
dc.subject | KOSPI | - |
dc.subject | EGARCH(1 | - |
dc.subject | 1) | - |
dc.subject | GJR-GARCH(1 | - |
dc.subject | 1) | - |
dc.subject.ddc | 519 | - |
dc.title | EGARCH 모형과 GJR-GARCH 모형을 이용한 비대칭 변동성 분석 | - |
dc.title.alternative | Empirical analysis of stock asymmetric volatility based on EGARCH and GJR-GARCH model | - |
dc.type | Thesis | - |
dc.description.degree | Master | - |
dc.citation.pages | ⅱ, 26 | - |
dc.contributor.affiliation | 자연과학대학 통계학과 | - |
dc.date.awarded | 2014-02 | - |
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