Analysis of the Intraday Volatility Spillover Effect between the KOSPI 200 Spot and Futures Markets using a FIGARCH-DCC Model

• 발행기관: 한국자료분석학회
• 저자명: Sang Hoon Kang Seong-Min Yoon
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.16 No.2, 601~611쪽, 전체 11쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2014.04.30

영문 초록

In this paper, we investigated the intraday volatility spillover effect between the KOSPI 200 spot and futures markets with consideration of a long memory feature. For this, we used univariate and bivariate FIGARCH-DCC models and considered a one-hour intraday return series of the KOSPI 200 spot and futures markets. More specifically, we analyzed the long memory property in the volatility of both markets over very short time intervals using univariate and bivariate FIGARCH-DCC models. From the estimation results of the univariate FIGARCH-DCC model, we found evidence of a strong dynamic volatility correlation and a long memory feature in the volatility of both return series. Also, from the estimation results of the bivariate FIGARCH-DCC model, we found evidence of a strong dynamic volatility correlation and long memory volatility transmission between the KOSPI 200 spot and futures markets. Thus, we conclude that the bivariate FIGARCH-DCC model is useful for capturing long memory spillover effects in the volatility of intraday returns. These results provide several useful implications on risk assessment, hedging, and arbitrage trading in intraday trading positions.

목차

1. Introduction

2. Data

3. Methodology

4. Empirical results

5. Conclusions

References

키워드

Intraday spillover effect Long memory feature KOSPI 200 spot and futures markets Bivariate FIGARCH-DCC model