• Title/Summary/Keyword: Volatility index

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A Comparative Study on the Forecasting Accuracy of Econometric Models :Domestic Total Freight Volume in South Korea (계량경제모형간 국내 총화물물동량 예측정확도 비교 연구)

  • Chung, Sung Hwan;Kang, Kyung Woo
    • Journal of Korean Society of Transportation
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    • v.33 no.1
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    • pp.61-69
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    • 2015
  • This study compares the forecasting accuracy of five econometric models on domestic total freight volume in South Korea. Applied five models are as follows: Ordinary Least Square model, Partial Adjustment model, Reduced Autoregressive Distributed Lag model, Vector Autoregressive model, Time Varying Parameter model. Estimating models and forecasting are carried out based on annual data of domestic freight volume and an index of industrial production during 1970~2011. 1-year, 3-year, and 5-year ahead forecasting performance of five models was compared using the recursive forecasting method. Additionally, two forecasting periods were set to compare forecasting accuracy according to the size of future volatility. As a result, the Time Varying Parameter model showed the best accuracy for forecasting periods having fluctuations, whereas the Vector Autoregressive model showed better performance for forecasting periods with gradual changes.

The Impact of Pandemic Crises on the Synchronization of the World Capital Markets (팬데믹 위기가 세계 자본시장 동조화에 미치는 영향)

  • Lee, Dong Soo;Won, Chaehwan
    • Asia-Pacific Journal of Business
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    • v.13 no.3
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    • pp.183-208
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    • 2022
  • Purpose - The main purpose of this study is to widely investigate the impact of recent pandemic crises on the synchronization of the world capital markets through 25 stock indices from major developed countries. Design/methodology/approach - This study collects 25 stock indices from major developed countries and the time period is between January 5, 2001 and February 24, 2022. The data sets used in the study include finance.yahoo.com and Investing.com.. The Granger causality analysis, unit-root test, VAR analysis, and forecasting error variance decomposition were hired in order to analyze the data. Findings - First, there are significant inter-relations among 25 countries around recent major pandemic crises(such as SARS, A(H1N1), MERS, and COVID19), which is consistent result with previous literature. Second, COVID19 shows much stronger impact on the world-wide synchronization than other pandemics. Third, the return volatility of each stock market varies, unit root tests show that daily stock index data are unstable while daily stock index returns are stable, and VAR(Vector Auto Regression) analyses presents significant inter-relations among 25 capital markets. Fourth, from the impulse response function analyses, we find that each market affects the other markets for short term periods, about 2~4 days, and no long term effect was not found. Fifth, Granger causality tests show one-side or two-sides synchronization between capital markets and we estimate, through forecasting error variance decomposition method, that the explanatory portions of each capital market on other markets vary from 10 to 80%. Research implications or Originality - The above results all together show that pandemic crises have strong effects on the synchronization of world capital markets and imply that these synchronizations should be carefully considered both in the investment decisions by individual investors and in the financial and economic policies by governments.

Analysis about Effect for Stock Price of Korea Companies through volatility of price of USA and Korea (미국과 한국의 가격변수 변화에 따른 한국기업 주가에 대한 영향분석)

  • 김종권
    • Proceedings of the Safety Management and Science Conference
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    • 2002.11a
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    • pp.321-339
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    • 2002
  • The result of variance decomposition through yield of Treasury of 30 year maturity of USA, S&P 500 index, stock price of KEPCO has 76.12% of impulse of KEPCO stock price at short-term horizon, but they have 51.40% at long-term horizon. After one year, they occupy 13.65%, and 33.25%. So their effects are increased. By the way, S&P 500 index and yield of Treasury of 30 year maturity of USA have relatively more effect for forecast of stock price oi KEPCO at short-term & long-term. The yield of Treasury of 30 year maturity of USA more than S&P 500 index have more effect for stock price of KEPCO. It is why. That foreign investors through fall of stock price of USA invest for emerging market is less than movement for emerging market of hedge funds through effect of fall of yield of Treasury of 30 year maturity of USA, according to relative effects for stock price of Korea companies. The result of variance decomposition through won/dollar foreign exchange rate, yield of corporate bond of 3 year maturity, Korea Stock Price index(KOSPI), stock price of KEPCO has 81.33% of impulse of KEPCO stock price at short-term horizon, but they have 41.73% at long-term horizon. After one year, they occupy 23.57% and 34.70%. So their effects are increased. By the way, KOSPI and won/dollar foreign exchange rate have relatively more effect for forecast of stock price of KEPCO at short-term & long-term. The won/dollar foreign exchange rate more than KOSPI have more effect for stock price of KEPCO. It is why. The recovery of economic condition through improvement of company revenue causes of rising of KOSPI. But, if persistence of low interest rate continues, fall of won/dollar foreign exchange rate will be more aggravated. And it will give positive effect for stock price of KEPCO. This gives more positive effect at two main reason. Firstly, through fall of won/dollar foreign exchange rate and rising of credit rating of Korea will be followed. Therefore, foreign investors will invest more funds to Korea. Secondly, inflow of foreign investment funds through profit of won/dollar foreign exchange rate and stock investment will be occurred. If appreciation of won against dollar is forecasted, foreign investors will buy won. Through this won, investors will do investment. Won/dollar foreign exchange rate is affected through external factors of yen/dollar foreign exchange rate, etc. Therefore, the exclusion of instable factors for foreign investors through rising of credit rating of Korea is necessary things.

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Fund Flow and Market Risk (펀드플로우와 시장위험)

  • Chung, Hyo-Youn;Park, Jong-Won
    • The Korean Journal of Financial Management
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    • v.27 no.2
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    • pp.169-204
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    • 2010
  • This paper examines the dynamic relationship between fund flow and market risk at the aggregate level and explores whether sudden sharp changes in fund flow (fund run) can cause a systemic risk in the Korean financial markets. We use daily and weekly data and regression and VAR analysis. Main results of the paper are as follows: First, in the stock market, a concurrent and a lagged unexpected fund flows have a positive relationship with market volatility. A positive shock in fund flow predicts an increase in stock market volatility. In the bond market, an unexpected fund flow has a negative relationship with the default risk premium, but a positive relationship with the term premium. And an unexpected fund flow of the money market fund has a negative relationship with the liquidy risk, but the explanatory power is very low. Second, for examining whether changes in fund flow induce a systemic risk, we construct a spillover index based on the forecast error variance decomposition of VAR model. A spillover index represents that how much the shock in fund flow can explain the change of market risk in a market. In general, explanatory powers from spillover indexes are so fluctuant and low. In the stock market, the impact of shocks in fund flow on market risk is relatively high and persistent during the period from the end of 2007 to 2008, which is the subprime-mortgage crisis period. In bond market, since the end of 2008, the impact of shocks in fund flow spreads to default risk continually, while in the money market, such a systematic effect doesn't take place. The persistent patterns of spillover effect appearing around a certain period in the stock market and the bond market suggest that the shock to the unexpected fund flow may increase the market risk and can be a cause of systemic risk in the financial markets. However, summarizing the results of regression and VAR model analysis, and considering the very low explanatory power of spillover index analysis, we can conclude that changes in fund flow have a very limited power in explaining changes in market risk and it is not very likely to induce the systemic risk by a fund run in the Korean financial markets.

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Delay Operation Techniques for Efficient MR-Tree on Nand Flash Memory (낸드 플래시 메모리 상에서 효율적인 MR-트리 동작을 위한 지연 연산 기법)

  • Lee, Hyun-Seung;Song, Ha-Yoon;Kim, Kyung-Chang
    • Journal of KIISE:Computing Practices and Letters
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    • v.14 no.8
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    • pp.758-762
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    • 2008
  • Embedded systems usually utilize Flash Memories with very nice characteristics of non-volatility, low access time, low power and so on. For the multimedia database systems, R-tree is an indexing tree with nice characteristics for multimedia access. MR-tree, which is an upgraded version of R-tree, has shown better performance in searching, inserting and deleting operations than R-tree. Flash memory has sectors and blocks as a unit of read, write and delete operations. Especially, the delete is done on a unit of 512 byte blocks with very large operation time and it is also known that read and write operations on a unit of block matches caching nature of MT-tree. Our research optimizes MR-tree operations in a unit of Flash memory blocks. Such an adjusting leads in better indexing performance in database accesses. With MR-tree on a 512B block units we achieved fast search time of database indexing with low height of MR-tree as well as faster update time of database indexing with the best fit of flash memory blocks. Thus MR-tree with optimized operations shows good characteristics to be a database index schemes on any systems with flash memory.

A Study on the Sudden Stop in Capital Flows and Foreign Exchange and Distribution Market Stability (자본유출입 급변동과 외환 및 유통시장 안정성에 관한 연구)

  • Kim, Yoon-Chul;Yi, Myung-Hoon
    • Journal of Distribution Science
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    • v.14 no.12
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    • pp.79-87
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    • 2016
  • Purpose - Since 1990, the sudden stop in capital flows has caused the economic crisis. The purpose of this research is to suggest the policy measures to mitigate the risk of the sudden stop in capital flows. To this end, we examine the theoretical framework and analyze the case study for countries which are faced with the sudden stop. Also we examine the structural problems of the foreign exchange market in Korea and derive the policy implications to prevent the sudden stop. Research design, data, and methodology - The criteria of whether the sudden stop in capital flows occurs are based upon Calvo et al. (2008). In case the proxy variable for the balance of capital account decreases from the average by over twice standard deviation, we determine that the sudden stop occurs for that country. The sample period is from January 1990 to December 2008, as in Calvo (2014). The sample countries are 17 developed countries and 19 emerging market countries, which are different from those of the previous papers as Agosin and Huaita (2012), and Calvo (2014). When the exchange market pressure index(EMPI) is deviated from the average by over three times standard deviation, we determine that the foreign exchange market is unstable for that country. Results - We find that the characteristics of the sudden stop in capital flows are the bunching or contagion among countries, the rapid drop in real effective exchange rate, and the huge decrease in foreign exchange reserves. Many countries tried to increase foreign exchange reserves and regulate capital flows. Also the foreign exchange market in Korea are found to be the volatile exchange rate, the vulnerable external debt and careless management of the foreign exchange derivatives transaction risk. Conclusions - To lessen the risk in the sudden stop of capital flows, this research suggests the some useful policy measures. To enhance the foreign exchange and distribution market stability, we should improve the price mechanism of exchange rate, hold the appropriate level of foreign exchange reserves, prevent excessive inflows of foreign exchange and promote sound transactions of foreign exchange derivatives.

A Study on the Analysis of Optimal Asset Allocation and Welfare Improvemant Factors through ESG Investment (ESG투자를 통한 최적자산배분과 후생개선 요인분석에 관한 연구)

  • Hyun, Sangkyun;Lee, Jeongseok;Rhee, Joon-Hee
    • Journal of Korean Society for Quality Management
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    • v.51 no.2
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    • pp.171-184
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    • 2023
  • Purpose: First, this paper suggests an alternative approach to find optimal portfolio (stocks, bonds and ESG stocks) under the maximizing utility of investors. Second, we include ESG stocks in our optimal portfolio, and compare improvement of welfares in the case with and without ESG stocks in portfolio. Methods: Our main method of analysis follows Brennan et al(2002), designed under the continuous time framework. We assume that the dynamics of stock price follow the Geometric Brownian Motion (GBM) while the short rate have the Vasicek model. For the utility function of investors, we use the Power Utility Function, which commonly used in financial studies. The optimal portfolio and welfares are derived in the partial equilibrium. The parameters are estimated by using Kalman filter and ordinary least square method. Results: During the overall analysis period, the portfolio including ESG, did not show clear welfare improvement. In 2017, it has slightly exceeded this benchmark 1, showing the possibility of improvement, but the ESG stocks we selected have not strongly shown statistically significant welfare improvement results. This paper showed that the factors affecting optimal asset allocation and welfare improvement were different each other. We also found that the proportion of optimal asset allocation was affected by factors such as asset return, volatility, and inverse correlation between stocks and bonds, similar to traditional financial theory. Conclusion: The portfolio with ESG investment did not show significant results in welfare improvement is due to that 1) the KRX ESG Leaders 150 selected in our study is an index based on ESG integrated scores, which are designed to affect stability rather than profitability. And 2) Korea has a short history of ESG investment. During the limited analysis period, the performance of stock-related assets was inferior to bond assets at the time of the interest rate drop.

The Development and Application of the Officetel Price Index in Seoul Based on Transaction Data (실거래가를 이용한 서울시 오피스텔 가격지수 산정에 관한 연구)

  • Ryu, Kang Min;Song, Ki Wook
    • Land and Housing Review
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    • v.12 no.2
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    • pp.33-45
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    • 2021
  • Due to recent changes in government policy, officetels have received attention as alternative assets, along with the uplift of office and apartment prices in Seoul. However, the current officetel price indexes use small-size samples and, thus, there is a critique on their accuracy. They rely on valuation prices which lag the market trend and do not properly reflect the volatile nature of the property market, resulting in 'smoothing'. Therefore, the purpose of this paper is to create the officetel price index using transaction data. The data, provided by the Ministry of Land, Infrastructure and Transport from 2005 to 2020, includes sales prices and rental prices - Jeonsei and monthly rent (and their combinations). This study employed a repeat sales model for sales, jeonsei, and monthly rent indexes. It also contributes to improving conversion rates (between deposit and monthly rent) as a supplementary indicator. The main findings are as follows. First, the officetel price index and jeonsei index reached 132.5P and 163.9P, respectively, in Q4 2020 (1Q 2011=100.0P). However, the rent index was approximately below 100.0. Sales prices and jeonsei continued to rise due to high demand while monthly rent was largely unchanged due to vacancy risk. Second, the increase in the officetel sales price was lower than other housing types such as apartments and villas. Third, the employed approach has seen a potential to produce more reliable officetel price indexes reflecting high volatility compared to those indexes produced by other institutions, contributing to resolving 'smoothing'. As seen in the application in Seoul, this approach can enhance accuracy and, therefore, better assist market players to understand the market trend, which is much valuable under great uncertainties such as COVID-19 environments.

A Study on the Prediction Model of Stock Price Index Trend based on GA-MSVM that Simultaneously Optimizes Feature and Instance Selection (입력변수 및 학습사례 선정을 동시에 최적화하는 GA-MSVM 기반 주가지수 추세 예측 모형에 관한 연구)

  • Lee, Jong-sik;Ahn, Hyunchul
    • Journal of Intelligence and Information Systems
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    • v.23 no.4
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    • pp.147-168
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    • 2017
  • There have been many studies on accurate stock market forecasting in academia for a long time, and now there are also various forecasting models using various techniques. Recently, many attempts have been made to predict the stock index using various machine learning methods including Deep Learning. Although the fundamental analysis and the technical analysis method are used for the analysis of the traditional stock investment transaction, the technical analysis method is more useful for the application of the short-term transaction prediction or statistical and mathematical techniques. Most of the studies that have been conducted using these technical indicators have studied the model of predicting stock prices by binary classification - rising or falling - of stock market fluctuations in the future market (usually next trading day). However, it is also true that this binary classification has many unfavorable aspects in predicting trends, identifying trading signals, or signaling portfolio rebalancing. In this study, we try to predict the stock index by expanding the stock index trend (upward trend, boxed, downward trend) to the multiple classification system in the existing binary index method. In order to solve this multi-classification problem, a technique such as Multinomial Logistic Regression Analysis (MLOGIT), Multiple Discriminant Analysis (MDA) or Artificial Neural Networks (ANN) we propose an optimization model using Genetic Algorithm as a wrapper for improving the performance of this model using Multi-classification Support Vector Machines (MSVM), which has proved to be superior in prediction performance. In particular, the proposed model named GA-MSVM is designed to maximize model performance by optimizing not only the kernel function parameters of MSVM, but also the optimal selection of input variables (feature selection) as well as instance selection. In order to verify the performance of the proposed model, we applied the proposed method to the real data. The results show that the proposed method is more effective than the conventional multivariate SVM, which has been known to show the best prediction performance up to now, as well as existing artificial intelligence / data mining techniques such as MDA, MLOGIT, CBR, and it is confirmed that the prediction performance is better than this. Especially, it has been confirmed that the 'instance selection' plays a very important role in predicting the stock index trend, and it is confirmed that the improvement effect of the model is more important than other factors. To verify the usefulness of GA-MSVM, we applied it to Korea's real KOSPI200 stock index trend forecast. Our research is primarily aimed at predicting trend segments to capture signal acquisition or short-term trend transition points. The experimental data set includes technical indicators such as the price and volatility index (2004 ~ 2017) and macroeconomic data (interest rate, exchange rate, S&P 500, etc.) of KOSPI200 stock index in Korea. Using a variety of statistical methods including one-way ANOVA and stepwise MDA, 15 indicators were selected as candidate independent variables. The dependent variable, trend classification, was classified into three states: 1 (upward trend), 0 (boxed), and -1 (downward trend). 70% of the total data for each class was used for training and the remaining 30% was used for verifying. To verify the performance of the proposed model, several comparative model experiments such as MDA, MLOGIT, CBR, ANN and MSVM were conducted. MSVM has adopted the One-Against-One (OAO) approach, which is known as the most accurate approach among the various MSVM approaches. Although there are some limitations, the final experimental results demonstrate that the proposed model, GA-MSVM, performs at a significantly higher level than all comparative models.

Physical and Thermodynamic Properties of Imidazolium Ionic Liquids (이미다졸계 이온성 액체의 물성)

  • Oh, Sooyeoun;Kang, Jeong Won;Park, Byung Heung;Kim, Ki-Sub
    • Korean Chemical Engineering Research
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    • v.50 no.4
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    • pp.708-712
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    • 2012
  • Ionic liquids (ILs) existing as liquid state at room temperature are composed of a immense heterocyclic cation and inorganic anion which is smaller than cation's size. Thus, the species of cation and anion as well as the length of alkyl group on the cation have influence on their physical properties. Their outstanding properties such as non-volatility, thermal stability and wide range of electrochemical stability make these materials excellent candidates for green solvent which can substitute the conventional organic solvents. In this study, ILs based on imidazolium cation have been synthesized such as 1-butyl-3-methylimidazolium bromide ([BMIM][Br]), 1-butyl-3-methylimidazolium chloride ([BMIM] [Cl]), 1-butyl-3-methylimidazolium iodide ([BMIM][I]), and 1-butyl-3-methylimidazolium tetrafluoroborate ([BMIM][$BF_4$]). The density, viscosity, refractive index, heat capacity and ionic conductivity of [BMIM][Br], [BMIM][I], and [BMIM] [$BF_4$] were measured over range of temperature of 293.2 to 323.2 K. The density and refractive index values of [BMIM][I] were the highest among three ILs and the viscosity values of [BMIM][Br] were the highest among three ILs. The heat capacities [BMIM][$BF_4$] were higher than those of [BMIM][Br]. The ionic conductivities of [BMIM][$BF_4$] were higher than those of [BMIM][I].