비대칭 금융 시계열을 위한 다중 임계점 변동성 모형Multiple-threshold asymmetric volatility models for financial time series
- Other Titles
- Multiple-threshold asymmetric volatility models for financial time series
- Authors
- 이효령; 황선영
- Issue Date
- Jun-2022
- Publisher
- 한국통계학회
- Keywords
- asymmetric volatility; multiple-threshold; parametric bootstrap; 비대칭 변동성; 다중 임계점; 모수적 붓스트랩
- Citation
- 응용통계연구, v.35, no.3, pp 347 - 356
- Pages
- 10
- Journal Title
- 응용통계연구
- Volume
- 35
- Number
- 3
- Start Page
- 347
- End Page
- 356
- URI
- https://scholarworks.sookmyung.ac.kr/handle/2020.sw.sookmyung/152680
- DOI
- 10.5351/KJAS.2022.35.3.347
- ISSN
- 1225-066X
2383-5818
- Abstract
- 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.
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 two-threshold 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.
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