The Korean Journal of Applied Statistics (응용통계연구)

The Korean Statistical Society (한국통계학회)
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Squared Log-return and TGARCH Model : Asymmetric Volatility in Domestic Time Series

제곱수익률 그래프와 TGARCH 모형을 이용한 비대칭 변동성 분석

  • Park, J.A. (Department of Statistics, Sookmyung Women's University) ;
  • Song, Y.J. (Department of Statistics, Sookmyung Women's University) ;
  • Baek, J.S. (Department of Statistics, Sookmyung Women's University) ;
  • Hwang, S.Y. (Department of Statistics, Sookmyung Women's University) ;
  • Choi, M.S. (Department of Statistics, Sookmyung Women's University)
  • 박진아 (숙명여자대학교 통계학과) ;
  • 송유진 (숙명여자대학교 통계학과) ;
  • 백지선 (숙명여자대학교 통계학과) ;
  • 황선영 (숙명여자대학교 통계학과) ;
  • 최문선 (숙명여자대학교 통계학과)
  • Published : 2007.11.30
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Abstract

As is pointed out by Gourieroux (1997), the volatility effects in financial time series vary according to the signs of the return rates and therefore asymmetric Threshold-GARCH (TGARCH, henceforth) processes are natural extensions of the standard GARCH toward asymmetric volatility modeling. For preliminary detection of asymmetry in volatility, we suggest graphs of squared-log-returns for various financial time series including KOSPI, KOSDAQ and won-Euro exchange rate. Next, asymmetric TGARCH(1,1) model fits are provided in comparisons with standard GARCH(1.1) models.

일반적인 ARCH 형태의 모형들은 자산수익률의 급첨 (leptokurtic; heavy-tail) 성질과 변동성 집중 (volatility clustering) 현상 등의 특징을 잘 포착해내는 반면, 수익률의 부호에 따른 비대칭 레버리지 효과 (leverage effect)는 반영 할 수 없다는 단점을 가진다. 따라서 최근 금융 시계열 분야에서는 비대칭-조건부-이분산 시계열 모형에 대한 관심이 높아지고 있다. 본 연구에서는 국내 금융 시계열자료 (KOSPI, KOSDAQ, 환율, 채권, 주요종목의 주가)의 수익률 제곱을 그래프화 하여 비대칭 이분산성을 시각적으로 탐지하고 이를 바탕으로 비대 칭 TGARCH(1,1) 모형을 적합한 후 기존의 대칭 GARCH(1,1) 모형과 비교분석하고자 한다.

Keywords

References

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