The Korean Journal of Applied Statistics (응용통계연구)

The Korean Statistical Society (한국통계학회)
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Time Series Models for Daily Exchange Rate Data

일별 환율데이터에 대한 시계열 모형 적합 및 비교분석

  • Kim, Bomi (Department of Statistics, Duksung Women's University) ;
  • Kim, Jaehee (Department of Statistics, Duksung Women's University)
  • 김보미 (덕성여자대학교 정보통계학과) ;
  • 김재희 (덕성여자대학교 정보통계학과)
  • Received : 2012.07.02
  • Accepted : 2012.11.23
  • Published : 2013.02.28
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Abstract

ARIMA and ARIMA+IGARCH models are fitted and compared for daily Korean won/US dollar exchange rate data over 17 years. A linear structural change model and an autoregressive structural change model are fitted for multiple change-point estimation since there seems to be structural change with this data.

미국 달러에 대한 한국원화의 17년간 일별 원/달러 환율 시계열 데이터에 대하여 정상 시계열 ARIMA 모형과 변동성을 포함한 시계열 모형인 ARIMA+IGARCH 모형을 적합하여 비교하고 예측을 실시하였다. 또한 환율 데이터에 구조변화가 있어 보이므로 선형구조를 포함한 구조 변화 모형과 자기상관 구조를 포함한 구조 변화 모형을 이용하여 변화점을 추정하고자 한다.

Keywords

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