The Korean Journal of Applied Statistics (응용통계연구)

The Korean Statistical Society (한국통계학회)
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Prediction Value Estimation in Transformed GARCH Models

변환된 GARCH모형에서의 예측값 추정

  • Park, Ju-Yeon (Department of Statistics, Sookmyoung Women's University) ;
  • Yeo, In-Kwon (Department of Statistics, Sookmyoung Women's University)
  • 박주연 (숙명여자대학교 통계학과) ;
  • 여인권 (숙명여자대학교 통계학과)
  • Published : 2009.10.31
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Abstract

In this paper, we introduce the method that reduces the bias when the transformation and back-transformation approach is applied in GARCH models. A parametric bootstrap is employed to compute the conditional expectation which is the prediction value to minimize mean square errors in the original scale. Through the analyese of returns of KOSPI and KOSDAQ, we verified that the proposed method provides a bias-reduced estimation for the prediction value.

이 논문에서는 GARCH 모형에서 변환-역변환 방법을 통해 예측값을 추정할 때 발생하는 편향을 줄이기 위한 방법을 소개한다. 모수적 붓스트랩을 활용하여 본래 척도에서의 최소평균제곱오차 예측값인 조건부 기대값을 계산한다. KOSPI와 KOSDAQ 수익률 분석을 통해 제안한 방법이 편향을 줄여주는 것을 확인하였다.

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References

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