원문정보
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초록
영어
This paper examines the nature of long memory or self-similarity in temporally aggregated data of KOSPI and KRW-US $, such as 10-min, 30-min, 1 hour and 1.5 hours. Apart from the commonly observed U-shaped pattern, inverse J-shaped patterns appear, due to market opening effects. The autocorrelations of absolute and squared normalized returns decay very slowly, and are associated with the long memory property. From empirical results from the FIGARCH(1, d,1) model, the 10- min and aggregated intraday returns exhibit long memory in volatility. Finally, the long memory property is invariant to temporal aggregation data, supporting the theory of self-similarity in Korean financial data.
목차
Abstract
1. Introduction
2. Characteristics of High Frequency Data
2.1 Intraday Periodicity
2.2 Intraday Volatility Persistence
3. Methodology
3.1 Model Specification
3.2 Model Density and Estimation
4. Empirical Results
5. Conclusions
References
1. Introduction
2. Characteristics of High Frequency Data
2.1 Intraday Periodicity
2.2 Intraday Volatility Persistence
3. Methodology
3.1 Model Specification
3.2 Model Density and Estimation
4. Empirical Results
5. Conclusions
References
저자정보
참고문헌
자료제공 : 네이버학술정보