Publications
Detailed Information
EGARCH 모형과 GJR-GARCH 모형을 이용한 비대칭 변동성 분석 : Empirical analysis of stock asymmetric volatility based on EGARCH and GJR-GARCH model
Cited 0 time in
Web of Science
Cited 0 time in Scopus
- Authors
- Advisor
- 임요한
- Major
- 자연과학대학 통계학과
- Issue Date
- 2014-02
- Publisher
- 서울대학교 대학원
- Keywords
- Asymmetric volatility ; KOSDAQ ; KOSPI ; EGARCH(1 ; 1) ; GJR-GARCH(1 ; 1)
- Description
- 학위논문 (석사)-- 서울대학교 대학원 : 통계학과, 2014. 2. 임요한.
- 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.
- Language
- English
- Files in This Item:
- Appears in Collections:
Item View & Download Count
Items in S-Space are protected by copyright, with all rights reserved, unless otherwise indicated.