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- W858142181 abstract "Since the seminal work of Engle (1982), many researchers and practitioners have developed ARCH-type models to deal with volatility modelling, which, for instance, is crucial to perform the task of derivative pricing, measuring risk, and risk hedging. In this paper, we base the GARCH(1,1) model to analyze the KOSPI200 data, and perform the CUSUM test for detecting parameter changes in the GARCH model. It is shown that the data suffers from a parameter change." @default.
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- W858142181 date "2007-01-01" @default.
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- W858142181 title "Modelling KOSPI200 Data Based on GARCH(1,1) Parameter Change Test" @default.
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