내재변동성(Implied Volatility)이 주가지수 변동성 예측에 미치는 효과

• 영문명: Effect of implied volatility in the GARCH-X model on forecasting European stock index volatilities
• 발행기관: 한국무역연구원
• 저자명: 이준규(Jun-Kyu Lee) 한희준(Hee-joon Han)
• 간행물 정보: 『무역연구』제10권 제2호, 867~881쪽, 전체 14쪽
• 주제분류: 경제경영 > 무역학
• 파일형태: PDF
• 발행일자: 2014.04.30

영문 초록

This paper compares GARCH(1.1) model and GARCH-X models using realized kernel and implied volatility. We consider stock index returns of FTSE, CAC and DAX. It is shown that, for the within-sample fitting, most GARCH-X models are better than GARCH(1.1) model. Comparing implied volatility and realized kernel in the GARCH-X model, the GARCH-X model using realized kernel is generally better than the GARCH-X model using implied volatility in the within-sample fitting. However, for out-of-sample forecasting, GARCH-X models using properly powered implied volatility outperform the GARCH-X model using realized kernel.

목차

Abstract

Ⅰ. 서론

Ⅱ. 자료 및 모형 설명

Ⅲ. 추정 및 평가

Ⅳ. 예측 및 평가

Ⅴ. 결론

참고문헌

키워드

GARCH GARCH-X Implied volatility Realized Kernel