The Korean Journal of Applied Statistics (응용통계연구)

The Korean Statistical Society (한국통계학회)
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Stock return volatility based on intraday high frequency data: double-threshold ACD-GARCH model

이중-분계점 ACD-GARCH 모형을 이용한 일중 고빈도 자료의 주식 수익률 변동성 분석

  • Chung, Sunah (Department of Statistics, Sookmyung Women's University) ;
  • Hwang, S.Y. (Department of Statistics, Sookmyung Women's University)
  • 정선아 (숙명여자대학교 통계학과) ;
  • 황선영 (숙명여자대학교 통계학과)
  • Received : 2015.12.28
  • Accepted : 2016.01.02
  • Published : 2016.02.29
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Abstract

This paper investigates volatilities of stock returns based on high frequency data from stock market. Incorporating the price duration as one of the factors in volatility, we employ the autoregressive conditional duration (ACD) model for the price duration in addition to the GARCH model to analyze stock volatilities. A combined ACD-GARCH model is analyzed in which a double-threshold is introduced to accommodate asymmetric features on stock volatilities.

주식시장 거래에서 기록되는 고빈도 자료를 사용하여 주식 수익률에 대한 변동성을 분석하였다. 변동성을 설명할 수 있는 한 요소로 주식거래에서 불규칙한 간격으로 발생하는 가격 듀레이션을 생각할 수 있는데, 실제 자료에 ACD 모형을 사용하여 듀레이션을 추정해 보았고, ACD-GARCH 모형을 사용하여 주식 수익률과 변동성에 미치는 듀레이션의 영향을 살펴보았다. 이 과정에서 ACD 모형 추정에는 ML과 EF 방법을 적용하였고, ACD-GARCH 모형에는 이중-분계점(double-threshold)을 추가하여 평균수익률의 비대칭성 및 변동성의 비대칭성을 동시에 분석해 보았다.

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References

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