The Korean Journal of Applied Statistics (응용통계연구)

The Korean Statistical Society (한국통계학회)
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Volatility-nonstationary GARCH(1,1) models featuring threshold-asymmetry and power transformation

분계점 비대칭과 멱변환 특징을 가진 비정상-변동성 모형

  • Choi, Sun Woo (Department of Statistics, Sookmyung Women's University) ;
  • Hwang, Sun Young (Department of Statistics, Sookmyung Women's University) ;
  • Lee, Sung Duck (Department of Information and Statistics, Chungbuk National University)
  • 최선우 (숙명여자대학교 통계학과) ;
  • 황선영 (숙명여자대학교 통계학과) ;
  • 이성덕 (충북대학교 정보통계학과)
  • Received : 2020.09.22
  • Accepted : 2020.10.05
  • Published : 2020.12.31
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Abstract

Contrasted with the standard symmetric GARCH models, we consider a broad class of threshold-asymmetric models to analyse financial time series exhibiting asymmetric volatility. By further introducing power transformations, we add more flexibilities to the asymmetric class, thereby leading to power transformed and asymmetric volatility models. In particular, the paper is concerned with the nonstationary volatilities in which conditions for integrated volatility and explosive volatility are separately discussed. Dow Jones Industrial Average is analysed for illustration.

본 논문에서는 금융시계열의 특징인 비대칭 변동성을 연구하고 있다. 멱변환을 동시에 고려한 멱변환-비대칭 GARCH 모형을 소개하고 있다. 변동성이 비정상인 모형을 다루고 있으며 오차항으로 표준정규분포와 더불어 표준화 t-분포도 고려하여 변동성 정상/비정상 조건을 제시하고 있다. 미국 주가 시계열인 다우지수 적용사례를 예시하였다.

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References

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