http://chineseinput.net/에서 pinyin(병음)방식으로 중국어를 변환할 수 있습니다.
변환된 중국어를 복사하여 사용하시면 됩니다.
최인녕(In Nyoung Choi),여성칠(Sung Chil Yeo) 건국대학교 경제경영연구소 2005 商經硏究 Vol.30 No.1
In this paper, we investigate a comparative evaluation of the predictive performance of various VaR estimation models with an emphasis on GARCH-type models. We review some basic theoretical results for GARCH-type models. We analyze the log-return data of KOSPI index by statistical test such as normality test and autocorrelation test. We find that the log-return distribution of KOSPI index has fat-tailedness and volatility clustering tendency since the variance of log-return data has a conditional heteroskedasticity.