The Impacts of Sudden Changes on the Volatility Persistence in Global Volatility Index

• 발행기관: 한국자료분석학회
• 저자명: 강상훈(Sang Hoon Kang) 윤성민(Seong-Min Yoon)
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.17 No.2, 631~638쪽, 전체 8쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2015.04.30

영문 초록

The volatility is affected substantially by infrequent sudden changes or regime shifts, corresponding to domestic and global economic events. This study considers the impact of sudden changes on volatility index (VIX) and examines the persistence of VIX. This study employs an iterated cumulative sums of squares (ICSS) algorithm to identify the time points at which sudden changes in volatility have occurred, and the results are incorporated into the AR-GARCH framework with and without sudden change variables. This study considers CBOE VIX time series. The sample data set consists of the weekly closing prices spanning from January 3, 2003 to September 28, 2012. According to empirical results, we find two sudden changes corresponding the 2008 global financial crisis. In addition, our results indicate that the degree of persistence of volatility was reduced by incorporating these sudden change effects into the GARCH model. These finding suggests that the importance of unexpected news associated with sudden changes evaluates more accurate volatility and provides the development of advance volatility models in financial assets.

목차

1. Introduction

2. Methodology

3. Data

4. Empirical results

5. Conclusions

References

키워드

Sudden changes ICSS algorithm GARCH model Volatility persistence