응용통계연구 (The Korean Journal of Applied Statistics)

  • 제35권4호
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  • Pages.501-515
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  • 2022
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  • 1225-066X(pISSN)
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  • 2383-5818(eISSN)
한국통계학회 (The Korean Statistical Society)
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두꺼운 꼬리 분포와 레버리지효과를 포함하는 확률변동성모형에 대한 최우추정: HMM근사를 이용한 최우추정

Maximum likelihood estimation of stochastic volatility models with leverage effect and fat-tailed distribution using hidden Markov model approximation

  • 김태형 (서울대학교 경제학과) ;
  • 박정민 (한밭대학교 융합경영학과)
  • Kim, TaeHyung (Department of Economics, Seoul National University) ;
  • Park, JeongMin (Department of Business Administration, Hanbat National University)
  • 투고 : 2022.04.11
  • 심사 : 2022.06.21
  • 발행 : 2022.08.31
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초록

두꺼운 꼬리 분포와 레버리지효과 등의 금융시계열의 전형적인 특징에도 불구하고 기존 빈도론적 접근법에서는 이를 명시적으로 포착하는 확률변동성모형이 제시된 바 없다. 본 연구는 빈도론적 접근법에서 수익률 금융시계열의 두꺼운 꼬리 분포와 레버리지효과를 명시적으로 포착할 수 있는 근사적인 확률변동성모형 설정을 제시하고 이에 대한 Langrock 등 (2012)의 HMM근사를 이용한 최우추정을 제안한다. 본 연구는 다양한 모의실험과 실증분석을 통해 본 연구에서 제안하는 근사모형이 두꺼운 꼬리 분포와 레버리지효과를 정밀하고 효과적으로 추정할 수 있음을 보인다.

Despite the stylized statistical features of returns of financial returns such as fat-tailed distribution and leverage effect, no stochastic volatility models that can explicitly capture these features have been presented in the existing frequentist approach. we propose an approximate parameterization of stochastic volatility models that can explicitly capture the fat-tailed distribution and leverage effect of financial returns and a maximum likelihood estimation of the model using Langrock et al. (2012)'s hidden Markov model approximation in a frequentist approach. Through extensive simulation experiments and an empirical analysis, we present the statistical evidences validating the efficacy and accuracy of proposed parameterization.

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