The Korean Journal of Applied Statistics (응용통계연구)

The Korean Statistical Society (한국통계학회)
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Choice of weights in a hybrid volatility based on high-frequency realized volatility

고빈도 금융 시계열 실현 변동성을 이용한 가중 융합 변동성의 가중치 선택

  • Yoon, J.E. (Department of Statistics, Sookmyung Women's University) ;
  • Hwang, S.Y. (Department of Statistics, Sookmyung Women's University)
  • 윤재은 (숙명여자대학교 통계학과) ;
  • 황선영 (숙명여자대학교 통계학과)
  • Received : 2016.02.16
  • Accepted : 2016.03.03
  • Published : 2016.04.30
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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.

본 연구에서는 금융시계열의 일간 변동성 측정을 위해 가중 융합 방법을 제안하고 있다. 고빈도(high frequency)자료에 기반을 둔 조정된 실현변동성을 계산하고 이를 참 값으로 간주하여 제안된 가중 융합 변동성에서 최적 가중치를 결정하는 과정을 서술하였다. 국내 KOSPI200자료의 1분 단위 고빈도 주가로부터 조정된 실현변동성을 구한 후 최적의 가중 융합 변동성을 제안해 보았다.

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References

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