Asymmetry and Long Memory Features in Volatility: Evidence From Korean Stock Market
Sang Hoon Kang and
Seong-Min Yoon ()
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Sang Hoon Kang: Gyeongsang National University
Korean Economic Review, 2008, vol. 24, 383-412
We investigate the asymmetry and long memory features in the volatility of the Korean stock market. For this purpose, we examine some GARCH class models that can capture these volatility stylized factors in the KOSPI 200 Index return data. From the results of estimation and diagnostic tests, we find that the decrease in volatility asymmetry in the crisis period is due to the introduction of derivatives markets (index futures and option trading) and the market liberalization, and that the degree of long memory features becomes lower after the financial crisis, implying that the financial crisis has the efficiency of the Korean stock market.
Keywords: Volatility; Asymmetry; Long Memory; FIAPARCH; Korean Stock Market (search for similar items in EconPapers)
JEL-codes: C12 C32 G14 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:kea:keappr:ker-20081231-24-2-04
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