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@article{ART001735302},
author={Yoo Hee Kyung and 정수정 and Sung Kyung},
title={The Study of Bayesian Clustering of Generalized Autoregressive Conditional Heteroscedasitcity},
journal={Journal of Knowledge Information Technology and Systems},
issn={1975-7700},
year={2012},
volume={7},
number={6},
pages={245-254}

TY - JOUR
AU - Yoo Hee Kyung
AU - 정수정
AU - Sung Kyung
TI - The Study of Bayesian Clustering of Generalized Autoregressive Conditional Heteroscedasitcity
JO - Journal of Knowledge Information Technology and Systems
PY - 2012
VL - 7
IS - 6
PB - Korea Knowledge Information Technology Society
SP - 245
EP - 254
SN - 1975-7700
AB - There are many data on stocks in the stock market. They can be characterized by GARCH (,) models, specifically in this paper we assume that each stock data follows GARCH(1,1) model. This paper presents a model-based clustering method of stock data into several groups where each group has the same model and the same parameters. For the choosing the number of groups, we exploit the BIC (Bayesian Information Criterion). And the group parameters which present the characteristics of groups are estimated through Bayesian approach.
KW - Regression;Bayesian;Cluster Analysis;Clustering;Autoregression
DO -
UR -
ER -

Yoo Hee Kyung, 정수정 and Sung Kyung. (2012). The Study of Bayesian Clustering of Generalized Autoregressive Conditional Heteroscedasitcity. Journal of Knowledge Information Technology and Systems, 7(6), 245-254.

Yoo Hee Kyung, 정수정 and Sung Kyung. 2012, "The Study of Bayesian Clustering of Generalized Autoregressive Conditional Heteroscedasitcity", Journal of Knowledge Information Technology and Systems, vol.7, no.6 pp.245-254.

Yoo Hee Kyung, 정수정, Sung Kyung "The Study of Bayesian Clustering of Generalized Autoregressive Conditional Heteroscedasitcity" Journal of Knowledge Information Technology and Systems 7.6 pp.245-254 (2012) : 245.

Yoo Hee Kyung, 정수정, Sung Kyung. The Study of Bayesian Clustering of Generalized Autoregressive Conditional Heteroscedasitcity. 2012; 7(6), 245-254.

Yoo Hee Kyung, 정수정 and Sung Kyung. "The Study of Bayesian Clustering of Generalized Autoregressive Conditional Heteroscedasitcity" Journal of Knowledge Information Technology and Systems 7, no.6 (2012) : 245-254.

Yoo Hee Kyung; 정수정; Sung Kyung. The Study of Bayesian Clustering of Generalized Autoregressive Conditional Heteroscedasitcity. Journal of Knowledge Information Technology and Systems, 7(6), 245-254.

Yoo Hee Kyung; 정수정; Sung Kyung. The Study of Bayesian Clustering of Generalized Autoregressive Conditional Heteroscedasitcity. Journal of Knowledge Information Technology and Systems. 2012; 7(6) 245-254.

Yoo Hee Kyung, 정수정, Sung Kyung. The Study of Bayesian Clustering of Generalized Autoregressive Conditional Heteroscedasitcity. 2012; 7(6), 245-254.

Yoo Hee Kyung, 정수정 and Sung Kyung. "The Study of Bayesian Clustering of Generalized Autoregressive Conditional Heteroscedasitcity" Journal of Knowledge Information Technology and Systems 7, no.6 (2012) : 245-254.