Forecasting Volatility of Korean Futures Market

• 발행기관: 한국자료분석학회
• 저자명: Sang Hoon Kang Qian Su Seong-Min Yoon
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.11 No.5, 2357~2366쪽, 전체 10쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2009.10.30

영문 초록

This article investigates and compares the ability to conduct one-day-ahead volatility forecasts in the Korean futures market utilizing three volatility models, including GARCH, IGARCH and FIGARCH models. The estimation results in this study using KOSPI 200 futures market conclude that the FIGARCH model is more adequately equipped to capture the long memory property than are the GARCH and IGARCH models. Additionally, the FIGARCH model provides superior performance in one-day-ahead volatility forecasts. Thus, we conclude that the FIGARCH model should prove useful to financial economists, policy makers, investors and financial analysts who are interested in modeling and forecasting the dynamics of Korean futures market volatility.

목차

1. Introduction

2. Model Framework

3. Empirical Results

4. Conclusions

References

키워드

Accuracy of the volatility forecasts Long memory Persistence KOSPI 200 futures