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NTIS 바로가기Communications for statistical applications and methods = 한국통계학회논문집, v.22 no.5, 2015년, pp.495 - 506
Wang, Yu (Department of Statistics, University of Georgia) , Park, Cheolwoo (Department of Statistics, University of Georgia) , Lee, Taewook (Department of Statistics, Hankuk University of Foreign Studies)
Volatility is a variation measure in finance for returns of a financial instrument over time. GARCH models have been a popular tool to analyze volatility of financial time series data since Bollerslev (1986) and it is said that volatility is highly persistent when the sum of the estimated coefficien...
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