Earticle

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

키워드

저자

• Sang Hoon Kang [ University of South Australia ]
• Seong-Min Yoon [ Pusan National University ] Corresponding author

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330