**[¼¼¹Ì³ª °øÁö]Volatility as a risk measure of financial time series: high frequency and realized volatility**

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- 2018-03-16
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Volatility as a risk measure of financial time series: high frequency and realized volatility

__Abstract__

The volatility as a risk measure is defined as a time varying variance process of return of an asset. The GARCH models have been useful to capture volatilities of various financial time series. This talk reviews standard volatility computations of GARCH models and then discusses recent issues including multivariate volatility, realized volatility and functional volatility suited to high frequency financial time series. To illustrate, applications to various financial time series are discussed.