응용통계연구 (The Korean Journal of Applied Statistics)

  • 제31권2호
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  • Pages.205-216
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  • 2018
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  • 1225-066X(pISSN)
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  • 2383-5818(eISSN)
한국통계학회 (The Korean Statistical Society)
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비대칭형 분계점 실현변동성의 제안 및 응용

A threshold-asymmetric realized volatility for high frequency financial time series

  • 김지연 (숙명여자대학교 통계학과) ;
  • 황선영 (숙명여자대학교 통계학과)
  • Kim, J.Y. (Department of Statistics, Sookmyung Women's University) ;
  • Hwang, S.Y. (Department of Statistics, Sookmyung Women's University)
  • 투고 : 2018.01.08
  • 심사 : 2018.02.25
  • 발행 : 2018.04.30
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초록

본 논문에서는 모형 기반 GARCH 변동성, 실현변동성(realized volatility; RV), 역사적 변동성(historical volatility), 지수가중이동평균(exponentially weighted moving average; EWMA) 등 다양한 변동성 추정 방법을 소개하고, 실현변동성에 비대칭 효과(leverage effect)를 반영한 분계점 실현변동성(threshold-asymmetric realized volatility; T-RV)을 제안하였다. 또한, 예시를 위해 KOSPI 고빈도 수익률 자료의 변동성을 분석하였다.

This paper is concerned with volatility computations for high frequency time series. A threshold-asymmetric realized volatility (T-RV) is suggested to capture a leverage effect. The T-RV is compared with various conventional volatility computations including standard realized volatility, GARCH-type volatilities, historical volatility and exponentially weighted moving average volatility. High frequency KOSPI data are analyzed for illustration.

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참고문헌

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