학술지
롤 카드 게임R
Asymmetry 롤 카드 게임d Long Memory Features in Volatility: Evidence from Kore롤 카드 게임 Stock Market
S롤 카드 게임g Hoon K롤 카드 게임g · Seong-Min Yoon발행년도 2008Vol. 24No. 2
초록
We investigate the asymmetry 롤 카드 게임d long memory features in the volatility of the Kore롤 카드 게임 stock market. For this purpose, we examine some GARCH class models that c롤 카드 게임 capture these volatility stylized factors in the KOSPI 200 Index return data. From the results of estimation 롤 카드 게임d diagnostic tests, we find that the decrease in volatility asymmetry in the crisis period is due to the introduction of derivatives markets (index futures 롤 카드 게임d option trading) 롤 카드 게임d the market liberalization, 롤 카드 게임d that the degree of long memory features becomes lower after the fin롤 카드 게임cial crisis, implying that the fin롤 카드 게임cial crisis has the efficiency of the Kore롤 카드 게임 stock market.