Journal of Integrative Natural Science (통합자연과학논문집)

The Basic Science Institute Chosun University (조선대학교 기초과학연구원)
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Estimation of Volatility of Korea Stock Price Index Using Winbugs

Winbugs를 이용한 우리나라 주가지수의 변동성에 대한 추정

  • Kim, Hyoung Min (Department of Computer Science & Statistics, College of Natural Sciences) ;
  • Chang, In Hong (Department of Computer Science & Statistics, College of Natural Sciences) ;
  • Lee, Seung Woo (Department of Computer Science & Statistics, College of Natural Sciences)
  • 김형민 (조선대학교 대학원 전산통계학과) ;
  • 장인홍 (조선대학교 컴퓨터 통계학과) ;
  • 이승우 (조선대학교 대학원 전산통계학과)
  • Received : 2011.05.24
  • Accepted : 2011.06.20
  • Published : 2011.06.30
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Abstract

The purpose of this paper is to estimate the fluctuation of an earning rate and risk management using the price index of Korea stocks. After an observation of conception of fluctuation, we can show volatility clustering and fluctuation phenomenon in the Korea stock price index using GARCH model with heteroscedasticity. In addition, the effects of fluctuation on the time-series was evaluated, which showed the heteroscedasticity. MCMC method and Winbugs as Bayesian computation were used for analysis.

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