• The Korean Journal of Applied Statistics
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• v.23 no.1
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• pp.49-61
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• 2010

The time series dependencies of Financial volatility are frequently measured by the autocorrelation function of power-transformed absolute returns. It is known as the Taylor property that the autocorrelations of the absolute returns are larger than those of the squared returns. Hass (2009) developed a simple method for detecting the Taylor property in absolute-value-GAROH(1,1) (AVGAROH(1,1)) model. In this article, we fitted AVGAROH(1,1) model for various Korean financial time series and observed the Taylor property.