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.
학술대회/행사
학술대회안내
[2008년 제 2차] Intraday Periodicity and Long Memory Property in Hi
작성자 : 관리자
조회수 : 1021
게시일 :
2008-05-30
첨부파일