The Korean Journal of Applied Statistics (응용통계연구)

The Korean Statistical Society (한국통계학회)
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News Impact Curves of Volatility for Asymmetric GARCH via LASSO

LASSO를 이용한 비대칭 GARCH 모형의 변동성 커브

  • Yoon, J.E. (Department of Statistics, Sookmyung Women's University) ;
  • Lee, J.W. (Department of Statistics, Sookmyung Women's University) ;
  • Hwang, S.Y. (Department of Statistics, Sookmyung Women's University)
  • 윤재은 (숙명여자대학교 통계학과) ;
  • 이정원 (숙명여자대학교 통계학과) ;
  • 황선영 (숙명여자대학교 통계학과)
  • Received : 2014.01.22
  • Accepted : 2014.02.06
  • Published : 2014.02.28
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Abstract

The news impact curve(NIC) originally proposed by Engle and Ng (1993) is a graphical representation of volatility for financial time series. The NIC is a simple but a powerful tool for identifying variability of a given time series. It is noted that the NIC is suited to symmetric volatility. Recently a lot of attention has been paid to asymmetric volatility models and therefore asymmetric version of the NIC would be useful in the field of financial time series. In this article, we propose to incorporate LASSO in constructing asymmetric NICs based on asymmetric GARCH models. In particular, bilinear GARCH models are considered and illustrated via KOSDAQ data.

Engle과 Ng (1993)가 제안한 뉴스 임팩트 커브(NIC)는 표준적인 GARCH 모형에 적용되는 대칭 커브이다. 최근들어 금융시계열의 변동성이 비대칭 성질을 가지는 경향이 있으며 이에 따라 분계점(threshlod) GARCH, 이중선형(bilinear) GARCH 등의 비대칭 모형이 연구되고 있다. 본 논문은 비대칭 모형의 변동성 커브에 대해 연구하고 있으며 LASSO를 통한 방법론을 제안하고 있다. 제시된 방법론을 국내 KOSDAQ 자료분석을 통해 예시해 보았다.

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References

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  1. Multivariate Volatility Analysis via Canonical Correlations for Financial Time Series vol.27, pp.7, 2014, https://doi.org/10.5351/KJAS.2014.27.7.1139