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Keywords: FIGARCH
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2002) 10 (2): 95–114.
Published: 30 November 2002
...Ji Hyeon Lee; Dong Seog Kim; Hoe Gyeong Lee In this paper, we empirically examine the volatility process of Korean stock market returns using the KOSPI200. To investigate the property of the process, we use the FIGARCH (Fractionally Integrated GARCH) model that includes GARCH and 1GARCH processes...
