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Choice of weights in a hybrid volatility based on high-frequency realized volatility고빈도 금융 시계열 실현 변동성을 이용한 가중 융합 변동성의 가중치 선택
- Other Titles
- 고빈도 금융 시계열 실현 변동성을 이용한 가중 융합 변동성의 가중치 선택
- Issue Date
- Apr-2016
- Publisher
- 한국통계학회
- Keywords
- high frequency time series; realized volatility; weighted hybrid volatility; 고빈도 금융시계열; 조정된 실현변동성; 가중 융합 변동성
- Citation
- 응용통계연구, v.29, no.3, pp 505 - 512
- Pages
- 8
- Journal Title
- 응용통계연구
- Volume
- 29
- Number
- 3
- Start Page
- 505
- End Page
- 512
- ISSN
- 1225-066X
- Abstract
- The paper is concerned with high frequency financial time series. A weighted hybrid volatility is suggested to compute daily volatilities based on high frequency data. Various realized volatility (RV) computations are reviewed and the weights are chosen by minimizing the differences between the hybrid volatility and the realized volatility. A high frequency time series of KOSPI200 index is illustrated via QLIKE and Theil-U statistics.
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