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Return volatilities of the Korea treasury bond in financial markets

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Abstract

We investigate the long memory property in the volatility of the Korean futures market. For our model, we analyze the high-frequency data of the KTB503 by applying the FIGARCH model. From the result of our analysis, we conclude that the volatility of the KTB503 exhibits the feature of the long memory. In particular, this long memory feature is compared to those used in other studies.

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Authors and Affiliations

  1. National Institute of Meteorological Research, Korea Meteorological Administration, Seoul, 156-720, Korea

    Jae-Won Jung

  2. Department of Physics, Pukyong National University, Busan, 608-737, Korea

    Kyungsik Kim

Authors
  1. Jae-Won Jung
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  2. Kyungsik Kim
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Correspondence to Kyungsik Kim.

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Jung, JW., Kim, K. Return volatilities of the Korea treasury bond in financial markets. Journal of the Korean Physical Society 60, 637–640 (2012). https://doi.org/10.3938/jkps.60.637

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  • DOI: https://doi.org/10.3938/jkps.60.637

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