• Title/Summary/Keyword: 변동성지수

Search Result 40, Processing Time 0.027 seconds

A Study of Predictability of VKOSPI on the KOSPI200 Intraday Jumps using different Jump Size and Trading Time (점프발생 강도 및 거래시간에 따른 변동성지수의 KOSPI200 일중 점프 예측력에 관한 연구)

  • Jung, Dae-Sung
    • Management & Information Systems Review
    • /
    • v.35 no.1
    • /
    • pp.273-286
    • /
    • 2016
  • This study investigated the information contents of KOSPI200 Options for intraday big market movement by using minute by minute data. The major findings are summarized as follows; First, big market movement occurred more frequently during 9:00~10:00 and 14:00~14:50. These phenomena reflect market unstability just after opening and near closing. Second, VKSOPI is most closely associated with extreme changes such as KOSPI200 jumps. Third, VKOSPI is showed more predictive power with negative KOSPI200 jumps than KOSPI200 jumps. Fourth, VKOSPI showed predictive power for the positive and negative jumps up to 30 minutes before the jumps occurs. The purpose of this study is to explore the most recent topics in the field of finance, research on market microstructure. This study is an important contribution to investigate intraday information comprehensively in terms of market microstructure effects using the 15-year long-term and the high-frequency data(minute by minute). The results of this study are expected to contribute to detect intraday true jumps, proactive development of market risk indicators, risk management, derivatives investment strategy.

  • PDF

Analysis of Regional Water Resources Characteristics Through Applying the Water Poverty Index and the Climate Variability Index (물 빈곤지수와 기후 변동성지수의 국내 적용을 통한 지역별 수자원 특성 분석)

  • Hong, Seung-Jin;Choi, Si-Jung;Baeck, Seung-Hyub;Kang, Seong-Kyu
    • Journal of Wetlands Research
    • /
    • v.13 no.3
    • /
    • pp.427-441
    • /
    • 2011
  • This study developed the Climate Variability Index (CVI) to assess the water resources through adding detail indicators into the existing regional Water Poverty Index (WPI) to consider climate variability and flood damage. This study aims at selecting indicators of WPI focused on water availability and regional climate variability, assessing regional variability of the indices during 1998-2007, and providing information to help determining the priority of water sector policies, investment, and applications. The WPI represents the relationship between the level of welfare and the water use. Considered with flood management and climate variability, CVI added by regional characteristics may be used in water resources management as well as flood mitigation for coping with climate change.

The Predictive Power of Implied Volatility of Portfolio Return in Korean Stock Market (한국주식시장 내재변동성의 포트폴리오 수익률 예측능력에 관한 연구)

  • Yoo, Shi-Yong;Kim, Doo-Yong
    • Journal of the Korea Academia-Industrial cooperation Society
    • /
    • v.12 no.12
    • /
    • pp.5671-5676
    • /
    • 2011
  • Volatility Index is the index that represents future volatility of underlying asset implied in option price and expected value of market that measures the possibility of stock price's change expected by investors. The Korea Exchange announces a volatility Index, VKOSPI, since April, 13, 2009. This paper used daily data from January, 2002 through December, 2008 and tested power of Volatility index for future returns of portfolios sorted by size, book-to-market equity and beta. As a result, VKOSPI has the predictive power to future returns and then VKOSPI may be determinants of returns. Also if beta is included when sorting portfolio, the predictive power of VKOSPI is stronger for future portfolio returns.

Asset Pricing From Log Stochastic Volatility Model: VKOSPI Index (로그SV 모형을 이용한 자산의 가치평가에 관한 연구: VKOSPI 지수)

  • Oh, Yu-Jin
    • The Korean Journal of Applied Statistics
    • /
    • v.24 no.1
    • /
    • pp.83-92
    • /
    • 2011
  • This paper examines empirically Durham's (2008) asset pricing models to the KOSPI200 index. This model Incorporates the VKOSPI index as a proxy for 1 month integrated volatility. This approach uses option prices to back out implied volatility states with an explicitly speci ed risk-neutral measure and risk premia estimated from the data. The application uses daily observations of the KOSPI200 and VKOSPI indices from January 2, 2003 to September 24, 2010. The empirical results show that non-affine model perform better than affine model.

Robust Optimization Using Supremum of the Objective Function for Nonlinear Programming Problems (비선형계획법에서 목적함수의 상한함수를 이용한 강건최적설계)

  • Lee, Se Jung;Park, Gyung Jin
    • Transactions of the Korean Society of Mechanical Engineers A
    • /
    • v.38 no.5
    • /
    • pp.535-543
    • /
    • 2014
  • In the robust optimization field, the robustness of the objective function emphasizes an insensitive design. In general, the robustness of the objective function can be achieved by reducing the change of the objective function with respect to the variation of the design variables and parameters. However, in conventional methods, when an insensitive design is emphasized, the performance of the objective function can be deteriorated. Besides, if the numbers of the design variables are increased, the numerical cost is quite high in robust optimization for nonlinear programming problems. In this research, the robustness index for the objective function and a process of robust optimization are proposed. Moreover, a method using the supremum of linearized functions is also proposed to reduce the computational cost. Mathematical examples are solved for the verification of the proposed method and the results are compared with those from the conventional methods. The proposed approach improves the performance of the objective function and its efficiency.

Forecasting KOSPI 200 Volatility by Volatility Measurements (변동성 측정방법에 따른 KOSPI200 지수의 변동성 예측 비교)

  • Choi, Young-Soo;Lee, Hyun-Jung
    • Communications for Statistical Applications and Methods
    • /
    • v.17 no.2
    • /
    • pp.293-308
    • /
    • 2010
  • In this paper, we examine the forecasting KOSPI 200 realized volatility by volatility measurements. The empirical investigation for KOSPI 200 daily returns is done during the period from 3 January 2003 to 29 June 2007. Since Korea Exchange(KRX) will launch VKOSPI futures contract in 2010, forecasting VKOSPI can be an important issue. So we analyze which volatility measurements forecast VKOSPI better. To test this hypothesis, we use 5-minute interval returns to measure realized volatilities. Also, we propose a new methodology that reflects the synchronized bidding and simultaneously takes it account the difference between overnight volatility and intra-daily volatility. The t-test and F-test show that our new realized volatility is not only different from the realized volatility by a conventional method at less than 0.01% significance level, also more stable in summary statistics. We use the correlation analysis, regression analysis, cross validation test to investigate the forecast performance. The empirical result shows that the realized volatility we propose is better than other volatilities, including historical volatility, implied volatility, and convention realized volatility, for forecasting VKOSPI. Also, the regression analysis on the predictive abilities for realized volatility, which is measured by our new methodology and conventional one, shows that VKOSPI is an efficient estimator compared to historical volatility and CRR implied volatility.

Dynamic Glide Path using Retirement Target Date and Forecast Volatility (은퇴 시점과 예측 변동성을 고려한 동적 Glide Path)

  • Kim, Sun Woong
    • Journal of Convergence for Information Technology
    • /
    • v.11 no.2
    • /
    • pp.82-89
    • /
    • 2021
  • The objective of this study is to propose a new Glide Path that dynamically adjusts the risky asset inclusion ratio of the Target Date Fund by simultaneously considering the market's forecast volatility as well as the time of investor retirement, and to compare the investment performance with the traditional Target Date Fund. Forecasts of market volatility utilize historical volatility, time series model GARCH volatility, and the volatility index VKOSPI. The investment performance of the new dynamic Glide Path, which considers stock market volatility has been shown to be excellent during the analysis period from 2003 to 2020. In all three volatility prediction models, Sharpe Ratio, an investment performance indicator, is improved with higher returns and lower risks than traditional static Glide Path, which considers only retirement date. The empirical results of this study present the potential for the utilization of the suggested Glide Path in the Target Date Fund management industry as well as retirees.

Seepage Face and Reliability Indexes of Anisotropic Homogenous Dam at Steady State Condition (비등방 균질 댐의 정상상태에서의 침투면과 신뢰성지수)

  • Mahmood, Khalid;Kim, Jin-Man
    • Journal of the Korean Geotechnical Society
    • /
    • v.28 no.4
    • /
    • pp.35-42
    • /
    • 2012
  • This paper evaluates the effect of anisotropic conductivity on the seepage face and reliability index of an homogeneous dam with and without toe drain. The analysis are conducted under steady state saturated-unsaturated seepage condition using finite element method. Various anisotropic conductivity ratios were interpreted under such conditions as the vertical conductivity is reduced while the horizon conductivity is fixed. The shear strength of soil is defined by the modified Mohr-Coulomb failure criterion. The analysis results demonstrate that the length of seepage face and reliability index at the downstream and upstream of the dam increase with an increasing anisotropic ratio. These results of the seepage face and reliability index, however, depend on the total head difference between the upstream slope and downstream toe. The difference in seepage face and reliability index is attributed to the different equipotential head with different anisotropic ratios of the dam material.

Asymmetric Impacts of Oil Price Uncertainty on Industrial Stock Market -A Quantile Regression Approach - (분위수회귀분석을 이용한 유가 변동성에 대한 산업별 주식시장의 이질적 반응 분석)

  • Joo, Young-Chan;Park, Sung-Yong
    • Management & Information Systems Review
    • /
    • v.38 no.3
    • /
    • pp.1-19
    • /
    • 2019
  • This paper investigates the asymmetric effects of crude oil price uncertainty on industrial stock returns under different market conditions (bearish and bullish stock markets). We consider a quantile regression method using monthly oil volatility index, KOSPI and 22 industrial stock indices from May 2007 to February 2019. Especially, we take care of the positive and negative changes of the oil volatility index to analyze asymmetric effects of the oil price uncertainty for the bearish and bullish stock market conditions. During the bearish markets, the oil volatility index has relatively strong statistically significant negative effects on the industrial stock returns. These effects gradually decrease when the market conditions became more bullish markets. In particular, positive changes in the oil volatility index yields a further significant decrease in 12 industrial stock returns during the extreme bearish markets. Moreover, during the bullish markets, negative changes in the oil volatility index have statistically significant negative effects on the 12 industrial stock returns. From the empirical results, we see that participants of the Korean stock market are sensitive to bad news in a recession.

A Study on the relations between change of productivity and conversion factor of the Accredited Hospitals based on Malmquist index (Malmquist 지수에 기초한 의료기관평가 대상 병원의 생산성 변동과 환산지수 변동에 관한 연구)

  • O, Dong-Il
    • Journal of the Korea Academia-Industrial cooperation Society
    • /
    • v.12 no.1
    • /
    • pp.125-137
    • /
    • 2011
  • This study aims to know whether the Accreditation of Hospitals can help to improve productivity of hospital and affect the conversion factor. Based on the Malmquist productivity Index, the productivity of accredited hospital improves. There exists an tendency that as the scores of Accreditation rises, productivity increases. Also the higher the productivity, the lower the conversion factors in the rigid statistical evidence. This evidence is independent of hospital classification, geographical distribution, grouping. This evidence supports the productivity index can be included in the fee negotiations. It also means that rather than static efficiency, the multi-year change of productivity information can be usefully combined to set a conversion factor in Korean National Insurance Contract especially in the discussion of the structural change of payment system.