Estimation of volatility in stock price process주식가격의 확률과정에서 변동성 추정
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.advisor | Choi, U-Jin | - |
| dc.contributor.advisor | 최우진 | - |
| dc.contributor.author | Shin, Yong Hyun | - |
| dc.contributor.author | 신용현 | - |
| dc.date.accessioned | 2011-12-14T04:54:05Z | - |
| dc.date.available | 2011-12-14T04:54:05Z | - |
| dc.date.issued | 2002 | - |
| dc.identifier.uri | http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=173580&flag=dissertation | - |
| dc.identifier.uri | http://hdl.handle.net/10203/42041 | - |
| dc.description | 학위논문(석사) - 한국과학기술원 : 수학전공, 2002.2, [ vi, 22 p. ] | - |
| dc.description.abstract | In describing the stock price process, it is one of the most important to estimate volatility at. We explain the behavior of stock price process by using some simplified version of generalized Wiener process. First, we estimate volatility from real data, Korea Composite Stock Price Index(KOSPI) 200. Also we review three famous methods(autoregressive conditional heteroscedasticity(ARCH) model, exponentially weighted moving average(EWMA) model and generalized autoregressive conditional heteroscedasticity(GARCH) (1,1) model) for estimating the cur-rent level of volatility. Employing EWMA model, we estimate the cur-rent level of KOSPI 200. | eng |
| dc.language | eng | - |
| dc.publisher | 한국과학기술원 | - |
| dc.subject | Estimation of volatility | - |
| dc.subject | 변동성 추정 | - |
| dc.title | Estimation of volatility in stock price process | - |
| dc.title.alternative | 주식가격의 확률과정에서 변동성 추정 | - |
| dc.type | Thesis(Master) | - |
| dc.identifier.CNRN | 173580/325007 | - |
| dc.description.department | 한국과학기술원 : 수학전공, | - |
| dc.identifier.uid | 020003269 | - |
| dc.contributor.localauthor | Choi, U-Jin | - |
| dc.contributor.localauthor | 최우진 | - |
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