Journal of the Korea Academia-Industrial cooperation Society (한국산학기술학회논문지)

The Korea Academia-Industrial cooperation Society (한국산학기술학회)
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Empirical Study of the Long-Term Memory Effect of the KOSPI200 Earning rate volatility

KOSPI200 수익률 변동성의 장기기억과정탐색

  • Choi, Sang-Kyu (Business Administration The Graduate School of Sungkyunkwan University)
  • 최상규 (성균관대학교 경영전문대학원)
  • Received : 2014.10.29
  • Accepted : 2014.12.11
  • Published : 2014.12.31
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Abstract

This study examined the squared returns and absolute returns of KOSPI 200 with GPH (Geweke and Porter-Hudak, 1983) estimators. GPH was estimated by the long-term memory preserving time series parameter d in linear regression. This called the GPH estimator, which depends on a bandwidth m. m was decided by confirming the stable section of the point estimate by validating the track of the GPH estimator according to the value of m. The result suggests that by satisfying 0< d <0.5, the squared returns and absolute returns of KOPI 200 retains long-term memory.

본 연구에서는 GPH(Geweke and Porter-Hudak, 1983) 추정량을 이용하여 KOSPI200지수의 제곱수익률과 절대수익률을 장기기억속성이 있는지 실증분석을 수행하였다. GPH는 장기기억보전 시계열 모수 d를 직선회귀에 의해서 추정하였으며 이를 GPH 추정량이라고 하며 이는 대역폭 m에 의존한다. m값에 따른 GPH추정량의 자취를 확인하여 추정 값이 안정적인 구간을 확인하여 m을 결정한다. 분석 결과 KOSPI200지수의 제곱수익률과 절대수익률은 0< d <0.5를 만족하여 장기기억 속성을 가지고 있는 것으로 나타났다.

Keywords

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