FINANCE&ECONOMYꆡ뷰죚뺭볃컒맺짏쫐짌튵틸탐뗄쫐뎡쇷뚯탔럧쿕닢솿ꇵ샮볡잿ꆡꆡ햪튪:놾컄춨맽뛔쇷뚯탔쿠맘컄쿗뗄믘맋,쳡돶쇋믹폚벫닮돶쇋룷ퟔ뛔쇷뚯탔뗄죏쪶뫍룼캪뺫쾸뗄닢뛈랽램,떫믹놾뚼쓜맩룅쓮뗄쇷뚯탔뫢솿횸뇪,늢톡좡5볒짏쫐짌튵틸탐ퟷ캪퇹놾살퇐죫Harris뗄쯄캬탔룅삨훐ꆣ뺿컒맺틸탐튵뗄쇷뚯탔럧쿕컊쳢,ퟮ훕뗃돶뛔쇷뚯탔늻ퟣ뗄뷰죚뛔쇷뚯탔럧쿕뗄퇐뺿뾪쪼폚Garbade뫍Silber(1979)뗄퇐뺿ꆣ믺릹뷸탐룉풤쫇헾뢮뇘좻톡퓱ꆣ쯻쏇쳡돶쇋튻룶쇷뚯탔럧쿕뗄랽닮닢뛈ꆣ헢룶랽닮쫇춶헟뻶뚨맘볼듊:짌튵틸탐;쇷뚯탔;럧쿕튪붻틗쪱뗄횤좯헦쪵볛횵(늻뿉맛닢뗄뻹뫢볛횵)폫붻틗췪돉쪱뿌뗄붻틗볛룱횮닮뗄랽닮ꆣ틸탐뗄쇷뚯탔럧쿕쫇횸짌튵틸탐컞램쳡릩ퟣ뛮뷰살펦뢶Chordia,Roll뫍Subrahmanyam(2000)퓚쏀맺NYSE룶막훐닺퓶볓탨쟳,믲싄탐떽웚햮컱뗄쿠맘럧쿕ꆣ쇷뚯탔럧쿕쫇냍죻뛻랢쿖쇋쿔훸뗄쇷뚯탔릲탔(벴쾵춳쇷뚯탔)ꆣ퓋폃쿠춬랽램뷸탐쇷킭틩쏨쫶뗄죽룶뷰죚럧쿕훐뗄튻룶럧쿕풴,뗃떽쇋뷰죚볠맜믺릹ꆢ뚯탔릲탔벴쾵춳쇷뚯탔퇐뺿뗄뮹폐Brockman뫍Chung(2001)틔뷰죚믺릹ꆢ샭싛퇐뺿헟뫍듓튵죋풱뗄맣랺맘힢폫훘쫓ꆣ뫶싔쇷뚯벰쯎럪쏷뫍첷믛(2005)뗈,쯻쏇튲뚼볬퇩떽쇋쿔훸뗄쇷뚯탔릲탔럧쿕ꆢ좱랦뛔쇷뚯탔럧쿕뗄맜샭,뇘붫듸살훘듳쯰쪧ꆣ뷼쓪살,탔,쮵쏷룶막쇷뚯탔듦퓚쾵춳탔럧쿕ꆣ샠쯆뗄뫢솿랽램뮹폐Hu2맺췢늻랦뷰죚믺릹평폚쇷뚯탔럧쿕맜샭뗄좱랦믲늻짆퓬돉떹뇕믲berman뫍Halka(2001)뗄쿠맘쾵쫽횵,벴뛔춶ퟩ뫏믲룶막뗄쇷뻞뛮뿷쯰뗄낸샽ꆣ쳘뇰쫇쏀맺듎벶햮럧늨틔벰뫳살틽랢뗄좫쟲뷰뚯탔쮮욽뗄죅뚯쿮폫쫐뎡ퟜ쳥쇷뚯탔쮮욽뗄죅뚯쿮쟳쯼쏇뗄쿠맘죚캣믺퓙듎뺯쪾쇋컈붡뗄쇷뚯탔럧쿕맜샭뫍볠맜뗄훘튪탔ꆣ쾵쫽듳킡,웤훐쇷뚯탔죅뚯쿮쫇쇷뚯탔횸뇪뗄쪱볤탲쇐쫽뻝뷸탐틸탐쇷뚯탔럧쿕뗄룅쓮냼삨솽샠:튻샠쫇죚쇷뚯탔럧쿕;ퟔ믘맩(벴AR)맀볆뗄닐닮쿮맀볆횵ꆣ쇭튻샠쫇쫐뎡쇷뚯탔럧쿕ꆣ놾컄뎢쫔릹붨튻룶탂뗄쇷뚯탔횸뇪,쇭튻룶탎쪽쫇킭랽닮,쯼놻Acharya뫍Pedersen(2005)쫓캪늢뷨훺럾듓맣틥컳닮럖늼(GED)뗄EGARCH살뫢솿뫍럖컶컒맺쇷뚯탔럧쿕펰쿬막욱풤웚쫕틦싊뗄ퟷ폃탎쪽횮튻ꆣ쇷뚯탔럧쿕펰짏쫐짌튵틸탐뗄쫐뎡쇷뚯탔럧쿕ꆣ캪쿠맘늿쏅뷸탐럧쿕맜샭쳡릩쿬닺뚨볛뗄쇭췢솽룶쟾뗀쫇coviM(l,r)뫍iMcov(r,l),웤폐볛횵뗄닎뾼ꆣ훐뇭쪾쫐뎡ퟩ뫏뗄쫕틦싊ꆣ헢죽룶킭랽닮돽틔쫐뎡ퟩ뫏뺻쫕틦싊튻ꆢ쿠맘컄쿗믘맋뻍뗃떽죽룶쇷뚯탔ꆣ싳풪톫(2006)폃Acharya뫍Pedersen쇷뚯탔퇐뺿쫇뷼죽쪮쓪랢햹ퟮ뿬뗄퇐뺿쇬폲횮튻ꆣ쇷뚯탔룅(2005)뗄헢죽룶ꛂ뛈솿쇋1998쓪틔잰퓚컒맺뮦짮A막막쫐짏쫐쓮뫍닢뛈랽램뗄퇐뺿퓲쪼폚Demsetz(1968)뾪뒴탔뗄퇐뺿릤ퟷꆣ뗄547룶막욱뗄쇷뚯탔럧쿕,뷡맻랢쿖쇷뚯탔쮮욽풽뗍뗄막욱,Harris(1990)쳡돶쇋막쫐쇷뚯탔뗄쯄캬뇪ힼ,냼삨벴쪱탔ꆢ뿭죽룶쇷뚯탔ꛂ풽듳ꆣ쫂쪵짏,퓚헢죽룶킭랽닮훐뿉ퟷ캪룶막닣쏦뛈ꆢ짮뛈뫍떯탔ꆣ벴쪱탔벴튻뚨솿막욱퓚뛔볛룱펰쿬튻뚨뗄쳵볾짏뗄쇷뚯탔럧쿕뛈솿뗄쫇coviM(l,l)뫍iMcov(l,r),틲캪헢쿂쓜뛌쪱볤쓚췪돉붻틗ꆣ뿭뛈뫍뷴뛈룅쓮샠쯆,쫇횸붻틗볛룱욫솽룶킭랽닮샯몬폐룶막쇷뚯탔뇤솿ꆣ샫쫐뎡뻹뫢볛룱뗄돌뛈ꆣ짮뛈뫍떯탔뗄룅쓮횸퓚늻펰쿬떱잰볛룱틲캪ꛂꆢ쿠맘쾵쫽뫍킭랽닮쿠뮥볤뚼쫇뛔랽뗄튻훖뇤쳥탎쪽,쿂뗄ퟮ듳뿉붻틗솿,떯탔횸붻틗틽웰뗄볛룱늨뚯ꆣHarris쯹ퟜ뷡뗄뚼쫇퓚뫢솿룶쳥쇷뚯탔뗄쾵춳탔돌뛈,쯹틔쯼쏇쫇춬튻샠닢뛈쇷뚯탔뗄쯄캬탔퓚톧뷧뗃떽쇋맣랺죏춬,뺡맜뫳살뫜뛠톧헟폖쳡랽램ꆣퟷ뗄붨틩탍떣놣믺릹뷸탐헻뫏훘ퟩ,ퟩ붨뷰쪵솦튵ퟔ싉뫍뛔췢킭뗷릵춨;쯄쫇뛔떣놣탐튵(튻)럅뿭뫏ퟷ떣놣믺릹쳵볾,믹닣뫍쫐뎡뺺헹쓜솦잿ꆢ탅돌뛈룟ꆢ뺭펪맜쪵탐헾닟쟣킱,실쪵힢죫놾ꆢ럧쿕늹뎥ꆢ틸탐ퟔ훷톡퓱뫏ퟷ믺릹ꆣ내헕ꆶ춨횪ꆷ믽샭맦랶뗄떣놣믺릹ꆣ춬쪱,볓뿬ퟩ붨헾뢮쮰럑복쏢뗈헾닟럶돖,펪퓬솼뫃랢햹뮷뺳ꆣ벫붨솢폫떣놣믺릹뫏ퟷ맘쾵뗄튪쟳,틸탐돶,쫐뎡뮯퓋ퟷ뗄훐킡웳튵떣놣릫쮾,(쯄)볓잿틸놣쮫랽킭뗷릵춨,붨솢퓚럀랶럧쿕뗄믹뒡짏,럅뿭떣놣뫏ퟷ믺릹틽뷸췢늿쪵솦잿뗄횪쏻떣놣믺릹,맄샸짨쟗쏜뫏ퟷ맘쾵ꆣ틸놣뫏ퟷ뛔틸탐뫍떣놣믺쳵볾,붵뗍쓋훁좡쿻뫏ퟷꆰ쏅볷ꆱ,퓊탭솢뛠풪뮯ꆢ뛠훖탎쪽뗄떣놣믺릹,췪짆떣릹살쮵쫇ꆰ뮥샻쮫펮ꆱ,쮫랽펦훷뚯솪쾵,믹닣틸탐ퟔ훷톡퇹뻟놸놣횤쓜솦뗄떣놣믺놣믺릹쳥쾵ꆣ욽뗈킭짌,퓚ꆰ쟳춬듦틬ꆱꆢꆰ헦돏뫍쓀ꆱꆢ릹ퟷ캪놣횤죋:횻튪떣놣믺릹뻟놸떣놣쓜(죽)볓잿떣놣믺릹뗄볠뚽맜샭,볓ꆰ뮥샻뮥탅ꆱ뗄풭퓲쿂듯돉뫏ퟷ킭틩,볓솦,벴뿉퓚웤떣놣쓜솦랶캧쓚뾪햹뫏ퟷ,듳헾닟럶돖솦뛈ꆣ튻쫇쏷좷헾뢮훷맜늿쏅,잿튵컱뫏ퟷꆣ춬쪱,뗘랽헾뢮늿쏅ꆢ뷰죚뛸늻뛔힢닡놾ꆢ룟맜죋풱듓튵뺭샺뗈ퟶ볓잿뛔떣놣믺릹뗄횸떼ꆢ맜샭뫍킭뗷;뛾훷맜늿쏅튪믽벫뷩죫,볓잿킭뗷뛔뷓,릹돶펲탔맦뚨ꆣ쫇쏷좷볠맜늿쏅,붨틩틔램싉탎쪽뢳폨틸붨틸놣뫏ퟷ욽첨ꆣ(뛾)헻뫏붡좫떣놣믺릹쳥쾵,쳡룟볠믡뛔떣놣믺릹뗄볠맜횰퓰,쪵쿖뫏맦짳(ퟷ헟떥캻:훐맺죋쏱틸탐뮳뮯쫐훐헻쳥쪵솦뫍뺺헹쓜솦ꆣ붨틩뛔쿖폐뗘랽킡짷뺭펪;죽쫇돉솢떣놣탐튵킭믡,볓잿탐탄횧탐)44' 1994-2014 China Academic Journal Electronic Publishing House. All rights reserved.
뷰죚쫓뷇뛾ꆢ쇷뚯탔횸뇪뗄붨솢ARCH,맣틥ퟔ믘맩쳵볾틬랽닮)쒣탍뻍쫇헢훖뚯첬닢솿랽램뗄듺믹폚쿖폐쇷뚯탔횸뇪뗄늻ퟣ,놾컄쳡돶쇋믹폚벫닮룅쓮뗄쇷뇭ꆣ뛔폚ARCH/GARCH쒣탍벰쿠맘쪵횤퇐뺿뗄쿪쾸믘맋,뿉틔닎뚯탔뫢솿횸뇪ꆣ퓚춳볆톧훐,벫닮쫇폃살닢뛈쯦믺뇤솿샫즢돌뛈뾼Bollerslev,Chou,andKroner(1992)뗄컄헂ꆣ뗄횸뇪ꆣ쯼퓚뷰죚쇬폲,쳘뇰쫇뛔뷰죚닺늨뚯탔닢솿랽쏦뗄펦평짏뷚뗄춳볆뷡맻뿉횪,놾컄퇹놾톡좡뗄5볒짏쫐틸탐뗄럇폃뿉틔ힷ쯝떽뛾쪮쫀볍냋쪮쓪듺퓧웚ꆣParkinson(1980)쳖싛늢쇷뚯탔탲쇐뻹뻜뻸쇋탲쇐컞쿠맘탔뗄풭볙짨ꆣ틲듋놾컄뗄쪵횤쒣횤쏷쇋쿠뛔폚웤쯻뇪ힼ뗄늨뚯탔횸뇪,벫닮횸뇪뻟폐쏷쿔뗄폅쫆ꆣ탍냼몬솽룶늿럖,쫗쿈,뛔럇쇷뚯탔뗄뻹횵랽돌닉폃AR(p)쒣놾컄붫룃룅쓮뫍Amihud쇷뚯탔뇈싊뷡뫏뗃떽쇋탂뗄쇷뚯탔횸뇪ꆣ탍,좻뫳,뛔뻹횵랽돌뗄닐닮쿮닉폃EGARCH쒣탍뷸탐맀볆ꆣ춬늢춨맽릫쪽뗃돶럇쇷뚯탔뿉뾴ퟶ튻룶횱뷓닢뛈ꆣ쪱,놾컄닉폃AICힼ퓲뛔룷탲쇐훍뫳쿮뗄쫽쒿뷸탐톡퓱ꆣ죽ꆢ퇹놾쮵쏷컥ꆢ쪵횤뷡맻럖컶놾컄톡폃퓚컒맺막욱쫐뎡짏쫐뗄5볒짌튵틸탐뗄쫽뻝살퇐뺿틔짏춨맽뛔5횻틸탐막쇷뚯탔럧쿕뷸탐쪵횤믘맩뗄맀볆뷡맻ꆣ컒맺짌튵틸탐뗄쇷뚯탔럧쿕ꆣ5볒틸탐냼삨:뮪쿄틸탐ꆢ헐짌틸룹뻝AICힼ퓲,컒쏇뛔룷틸탐막뗄뻹횵랽돌뗄실뫳쿮뷸탐쇋톡좡;탐ꆢ쏱짺틸탐ꆢ웖랢틸탐뫍짮랢햹ꆣ쫽뻝살풴폚CCER훐맺뺭볃춬쪱퓚뛔랽닮뷸탐맀볆쪱,놾컄닉폃쇋EGARCH(1,1)쒣탍ꆣ뷰죚쫽뻝뿢쫽뻝뿢ꆣ놾컄춨맽쿠맘뗄릫쪽뗃떽룷틸탐막뗄럇쇷뚯듳솿뗄쪵횤뷡맻뻹뇭쏷,룃쒣탍뿉틔퓚늶ힽ쫽뻝뚯첬쳘헷뗄춬쪱,탔횸뇪,늢붫웤믹놾춳볆뷡맻쇐폚뇭1ꆣ춨맽뇭1훐뗄럥뛈뫍JB뫜뫃뗄놣돖맀볆뗄볲뷠탔ꆣ헽첬춳볆솿뿉틔뾴떽쇷뚯탔횸뇪폐뫜쏷쿔뗄볢럥뫱캲킧펦,늻럻뻹횵랽돌뗄믘맩뷡맻뇭쏷,룷막AR쿮믘맩쾵쫽뻹쪮럖쿔훸,뫏헽첬럖늼ꆣ쟒럻뫏ARMA쒣탍뛔컈뚨탔뗄튪쟳ꆣ뇭쏷쇷뚯탔폐뫜잿뗄쿠맘탔,쪱볤탲쇐쪵횤럖컶뗄튻룶훘튪뗄잰쳡쫇쫽뻝뇘탫뻟폐욽컈탔,맽좥뗄쇷뚯탔뛔떱웚뗄쇷뚯탔폐뫜잿뗄펰쿬ꆣ럱퓲믡닺짺쏽컳믘맩뗈컊쳢ꆣ틲듋,컒쏇뛔룷룶탲쇐뷸탐쇋PP떥랽닮믘맩뷡맻뇭쏷,룷틸탐막뗄쇷뚯탔럧쿕뻟폐럇뛔돆탔ꆣ룹볬퇩살볬퇩웤컈뚨탔ꆣ닉폃PP떥룹볬퇩뗄풭틲캪룃볬퇩닉폃럇떱죅뚯쿮쫇헽욫샫,벴쇷뚯탔뇤닮쪱,폐삩듳랽닮뗄ퟷ폃,쪹뗃닎쫽뗄랽램,춬쪱뾼싇쇋쫽뻝쿠맘탔벰틬훊탔,뇈뒫춳ADF떥룹쇷뚯탔럧쿕뇤듳;뛸죅뚯쿮쫇뢺욫샫,벴쇷뚯탔뇤뫃쪱,폐쯵킡볬퇩뻟폐룼맣랺뗄쫊폃탔뫍룼잿뗄볬퇩솦ꆣ룷쇷뚯탔탲쇐뗄PP떥랽닮뗄ퟷ폃,쪹뗃쇷뚯탔럧쿕뇤킡ꆣ룹춳볆솿뻹듳폚1%뗄쇙뷧횵-21568,뿉볻쯹폐탲쇐뻹쫇욽컈뗄ꆣ헢훖뷡맻,뿉쓜맩틲폚쫐뎡뗄ퟔ컒쪵쿖뫍ퟔ컒퓶잿ퟷ폃ꆣ떱듋췢,Ljung뫍Box(1978)쳡돶뗄Q춳볆솿,뿉틔폃살볬퇩쒳튻쒳튻쳬쇷뚯탔춻좻붵뗍,벴럇쇷뚯탔폐헽쿲뗄죅뚯,퓲헢훖죅뚯쪱볤탲쇐횱떽k룶훍뫳웚쫇럱듦퓚ퟔ쿠맘ꆣ뇭1훐춳볆솿뗄뷡맻뇭쪹뗃쇷뚯탔늨뚯뗄랽닮뇤듳,헽쿲죅뚯풽잿,랽닮뇤뮯풽듳;랴쏷,퓚5%뗄훃탅쮮욽쿂,룷틸탐막뗄쇷뚯탔뻟폐탲쇐ퟔ쿠맘ꆣ횮,뢺쿲죅뚯쪹뗃쇷뚯탔늨뚯랽닮뇤킡,뢺쿲죅뚯풽잿,쇷뚯탔Engle(1982)쳡돶뗄볬퇩탲쇐쳵볾틬랽닮뗄LM춳볆솿뷡맻뇭쏷,풽컈뚨ꆣ쇷뚯탔헾뢮죅뚯뿉쓜살ퟔ폚뺭볃뗄뛠훖돥믷,냼삨,헾컥룶럇쇷뚯탔탲쇐뻹퓚1%훃탅쮮욽뻜뻸춬랽닮뗄풭볙짨ꆣ헢쮵쏷뢮탂헾닟뗄돶첨,붻틗쯹탂맦퓲뗄훆뚨,짏쫐릫쮾닆컱놨뇭뗄엻GARCH샠쒣탍펦룃쓜릻ힼ좷늶ힽ떽쯼쏇뗄릲탔ꆣ슶,춶헟뷡릹,뫪맛뺭볃뗄ퟟ쿲뗈뗈,헢킩틲쯘뚼믡춨맽펰쿬뇭춶헟닎볓붻틗뗄틢풸돌뛈랴펳떽쇷뚯탔짏살ꆣ럇쇷뚯탔뗄뢺쿲1ꆡ5횻틸탐막뗄믹놾춳볆뷡맻짮랢햹헐짌틸탐뮪쿄틸탐웖랢틸탐쏱짺틸탐죅뚯쮵쏷랢짺쇋뛔쫐뎡폐샻뗄쿻쾢돥믷,쪹뗃풸틢닎볓붻틗뗄춶퇹놾웚볤200011-200214-200319-200011-200011-헟퓶볓,듓뛸톰헒싲볒뫍싴볒뗄돉놾붵뗍,뛔쫐뎡펰쿬뷏킡,20071122007112200711220071122007112뻹횵쇷뚯탔쮮욽뷏룟ꆣ헢훖쫐뎡뗄솼뫃퓋탐믡뷸튻늽컼틽춶헟닎폫,0123301068010870137801208ퟮ듳횵5167001361017655167021763솼탔톭뮷뗄뷡맻쪹뗃쫐뎡짮뛈볓짮,쇷뚯탔뗄늨뚯붵뗍ꆣ럇쇷뚯ퟮ킡횵0100401008010140102201006탔뗄헽쿲죅뚯쮵쏷랢짺쇋뛔쫐뎡늻샻뗄쿻쾢,붻틗헟돩샫쫐뎡뗄뇪ힼ닮0132201052010780149501295욫뛈틢풸볓잿,듋쪱톰헒뫏쫊싲볒싴볒뗄쓑뛈퓶볓,늨뚯볓뻧,쇷뚯6138721109318645103331493럥뛈77164491564301564431217221361탔벱횱쿂ꆣ룼뛠뗄뎡췢붻틗헟맛달떽쫐뎡쟩뿶뫳,닉좡맛췻첬JB춳볆솿350787130081617627033168928072157061251207뛈,쫐뎡짮뛈붵뗍,탅쾢늻뛔돆돌뛈퓶볓,뷸죫쇷뚯탔쮮욽붵뗍PP떥룹볬퇩-221548333-81779333-91288333-91656333-91694333Q뗄ퟔ컒톭뮷훐ꆣ(12)4117133336841190333370190033383119203339791930333ARCH-LM춳볆솿2211878333231088333141019333461683333101200333룹뻝놾컄럖컶뗃돶,틔뫳뗄쇷뚯탔붫쟣쿲폚놣돖뗍쮮욽,붫ꆡꆡ힢:JB헽첬볬퇩춳볆솿캪JB={T[S2+-(k-3)2/4]}/6,웤훐S캪욫뛈,K쿝죫뛱탔톭뮷ꆣ듋쪱,탨튪췢늿돥믷룄뇤웤뻹뫢ힴ첬,죧맻헾뢮캪럥뛈뗄폐킧헾닟뿉틔탎돉뛔쇷뚯탔뗄폐샻돥믷,붫웰떽욽뢴쫐뎡쇷뚯,T캪퇹놾쫽ꆣQ춳볆솿캪Q=T(T+2)ꚲkꛓ2/T-j,웤훐,ꛓ캪훍뫳j웚뗄ퟔjjj=1쿠맘쾵쫽,T캪퇹놾쫽ꆣLM캪Engle쳡돶쇋볬퇩탲쇐쳵볾틬랽닮춳볆솿ꆣ삨뫅쓚뗄쫽횵탔뗄ퟷ폃,붵뗍틸탐뺭퇩맜샭뗄럧쿕ꆣ캪룅싊횵ꆣ33뇭쪾춳볆솿퓚5%뗄쿔훸쮮욽쿂쿔훸,3뇭쪾춳볆솿퓚10%뗄쿔훸쮮욽닎뾼컄쿗:쿂쿔훸ꆣ[1]DemsetzH1(1968),theCostofTransaction[J]1QuarterlyJour2쯄ꆢ쇷뚯탔럧쿕닢솿랽램nalofEconomics82:33-53놾컄닉폃GARCH샠쒣탍늶ힽ5볒짏쫐틸탐쇷뚯탔럧쿕뗄뚯첬[2]쯎럪쏷,첷믛(2005),뚩떥쟽뚯탍쫐뎡뗄쾵춳쇷뚯탔:튻룶쳘헷ꆣ평폚럧쿕뇤솿컞램맛달,춨뎣퓚볆솿뺭볃톧뗄퇐뺿떱훐,믹폚훐맺막쫐뗄쪵횤퇐뺿[J]1닆뺭싛듔닉폃뺭볃뇤솿뗄럖늼랽닮살맀볆뇤솿뗄럧쿕ꆣ뛔럧쿕뗄맀볆랽램[3]ParkinsonM1TheExtremeValueMethodforEstimatingtheVari2뿉틔럖캪뺲첬뫍뚯첬솽듳샠ꆣ뚯첬맀볆랽램뿉틔룼뫃뗄쏨쫶럧쿕anceoftheRateofReturn[J]1TheJournalofBusiness,1980,뗄뚯첬쳘헷,쫇룼캪ힼ좷뗄닢솿랽램,평Engle(1982)쳡돶뗄53(1):61-651ARCH(AutoRegressiveConditionalHeteroskedasticity,ퟔ믘맩쳵볾틬랽닮)쒣탍틔벰Bollerslev(1986)쳡돶뗄GARCH(Generalized(ퟷ헟떥캻:훐맺죋쏱틸탐첫풭훐탄횧탐)45' 1994-2014 China Academic Journal Electronic Publishing House. All rights reserved.
