응용통계연구 (The Korean Journal of Applied Statistics)

  • 제24권5호
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  • Pages.821-831
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  • 2011
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  • 1225-066X(pISSN)
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  • 2383-5818(eISSN)
한국통계학회 (The Korean Statistical Society)
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금융시계열 분석을 위한 다변량-GARCH 모형에서 비대칭-CCC의 도입 및 응용

Asymmetric CCC Modelling in Multivariate-GARCH with Illustrations of Multivariate Financial Data

  • 박란희 (숙명여자대학교 통계학과) ;
  • 최문선 (숙명여자대학교 통계학과) ;
  • 황선 (숙명여자대학교 통계학과)
  • Park, R.H. (Department of Statistics, Sookmyung Women's University) ;
  • Choi, M.S. (Department of Statistics, Sookmyung Women's University) ;
  • Hwan, S.Y. (Department of Statistics, Sookmyung Women's University)
  • 투고 : 20110900
  • 심사 : 20111000
  • 발행 : 2011.10.31
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초록

다변량-GARCH 분야에서 비대칭모형에 대한 연구는 상대적으로 미진하다 (McAleer 등, 2009). 본 논문에서는 다변량-GARCH 시계열에서 비대칭 모형과 상수 조건부 상관모형(CCC)을 도입하여 모델링하는 방법론에 대해 연구하고 있다. 다변량 비대칭 변동성 모형 적합 방법을 실용적으로 소개하고 있으며 이를 이용하여 국내 다변량 시계열 분석을 상세히 예시하였다.

It has been relatively incomplete in the field of financial time series to adapt asymmetric features to multivar ate GARCH processes (McAleer et al., 2009). Retaining constant conditional correlation(CCC) structure, this article pursues to introduce asymmetric GARCH modelling in analysing multivariate volatilities in time series in a practical point of view. Multivariate Korean financial time series are analyzed in detail to compar our theory with conventional methodologies including GARCH and EGARCH.

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피인용 문헌

  1. Performance Analysis of Volatility Models for Estimating Portfolio Value at Risk vol.28, pp.3, 2015, https://doi.org/10.5351/KJAS.2015.28.3.541