변화된 GARCH 모형을 활용한 VaR 추정
DC Field | Value | Language |
---|---|---|
dc.contributor.author | 박주연 | - |
dc.contributor.author | 여인권 | - |
dc.date.available | 2021-02-22T14:18:54Z | - |
dc.date.issued | 2009-11 | - |
dc.identifier.issn | 2287-7843 | - |
dc.identifier.uri | https://scholarworks.sookmyung.ac.kr/handle/2020.sw.sookmyung/13905 | - |
dc.description.abstract | 이 논문에서는 GARCH 모형에서 가정한 오차항의 분포에 근접하도록 자료를 변환하고 변환된 자료를 이용하여 모수와 예측구간을 구한 후 다시 역변환을 통해 원래의 척도에서의 VaR을 계산하는 방법에 대해 알아본다. KOSPI와 KOSDAQ 수익률을 이동시키며 VaR을 계산하고 이들 VaR의 포함확률을 계산하여 명목수준에 얼마나 근접하는지를 알아봄으로써 변환, 역변환 방법과 변환을 적용하지 않는 방법의 결과를 비교해본다. | - |
dc.format.extent | 11 | - |
dc.language | 한국어 | - |
dc.language.iso | KOR | - |
dc.publisher | 한국통계학회 | - |
dc.title | 변화된 GARCH 모형을 활용한 VaR 추정 | - |
dc.title.alternative | VaR Estimation via Transformed GARCH Models | - |
dc.type | Article | - |
dc.publisher.location | South Korea | - |
dc.identifier.bibliographicCitation | Communications for Statistical Applications and Methods, v.16, no.6, pp 891 - 901 | - |
dc.citation.title | Communications for Statistical Applications and Methods | - |
dc.citation.volume | 16 | - |
dc.citation.number | 6 | - |
dc.citation.startPage | 891 | - |
dc.citation.endPage | 901 | - |
dc.identifier.kciid | ART001392691 | - |
dc.description.isOpenAccess | N | - |
dc.description.journalRegisteredClass | kci | - |
dc.subject.keywordAuthor | Modulus transform | - |
dc.subject.keywordAuthor | Yeo-Johnson transformation | - |
dc.subject.keywordAuthor | skewness | - |
dc.subject.keywordAuthor | kurtosis | - |
dc.subject.keywordAuthor | coverage probability. | - |
dc.subject.keywordAuthor | Modulus변환 | - |
dc.subject.keywordAuthor | Yeo-Johnson변환 | - |
dc.subject.keywordAuthor | 왜도 | - |
dc.subject.keywordAuthor | 첨도 | - |
dc.subject.keywordAuthor | 포함확률 | - |
dc.subject.keywordAuthor | Modulus transform | - |
dc.subject.keywordAuthor | Yeo-Johnson transformation | - |
dc.subject.keywordAuthor | skewness | - |
dc.subject.keywordAuthor | kurtosis | - |
dc.subject.keywordAuthor | coverage probability. | - |
dc.identifier.url | http://kiss.kstudy.com/thesis/thesis-view.asp?key=2811954 | - |
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