The Korean Journal of Applied Statistics (응용통계연구)

The Korean Statistical Society (한국통계학회)
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Multiple-threshold asymmetric volatility models for financial time series

비대칭 금융 시계열을 위한 다중 임계점 변동성 모형

  • 이효령 (숙명여자대학교 통계학과) ;
  • 황선영 (숙명여자대학교 통계학과)
  • Received : 2022.01.06
  • Accepted : 2022.02.02
  • Published : 2022.06.30
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Abstract

This article is concerned with asymmetric volatility models for financial time series. A generalization of standard single-threshold volatility model is discussed via multiple-threshold in which we specialize to twothreshold case for ease of presentation. An empirical illustration is made by analyzing S&P500 data from NYSE (New York Stock Exchange). For comparison measures between competing models, parametric bootstrap method is used to generate forecast distributions from which summary statistics of CP (Coverage Probability) and PE (Prediction Error) are obtained. It is demonstrated that our suggestion is useful in the field of asymmetric volatility analysis.

본 논문에서는 금융 시계열 비대칭 변동성을 모형화하기 위해서 다중 임계점을 가진 비대칭-ARCH 점화식(A-ARCH(1))을 제안하고 있다. 특히 임계점이 두 개인 간단한 모형에 초점을 맞추어 설명하고 있으며 미국 S&P500 자료 분석을 통해 예시하였다. 다양한 A-ARCH(1) 모형의 예측력 비교를 위해 모수적-붓스트랩을 활용하여 예측오차의 평가 및 예측구간의 정확도를 설명하였다.

Keywords

Acknowledgement

This work was supported by a grant from the National Research Foundation of Korea (NRF-2021R1F1A1047952).

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