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원점이 이동한 비대칭-변동성 모형의 제안 및 응용
Asymmetric volatility models with non-zero origin shifted from zero : Proposal and application
Korean J Appl Stat 2023;36(6):561-571
Published online December 31, 2023
© 2023 The Korean Statistical Society.

이예진a, 황선영a, 이성덕1,b
Ye Jin Leea, Sun Young Hwanga, Sung Duck Lee1,b

a숙명여자대학교 통계학과; b충북대학교 정보통계학과

aDepartment of Statistics, Sookmyung Women’s University;
bDepartment of Information and Statistics, Chungbuk National University
1 Department of Information and Statistics, Chungbuk National University, Cheongju, Chungbuk 28644, Korea. E-mail: sdlee@chungbuk.ac.kr
This work was partially supported by a grant from the National Research Foundation of Korea (NRF-2021R1F1A1047952).
Received August 15, 2023; Revised September 11, 2023; Accepted September 12, 2023.
Abstract
본 논문에서는 비대칭 변동성을 다루고 있다. 대표적인 비대칭 모형인 분계점-ARCH에서 원점이 영(zero)에서 이동한 모형을 제안하고 있다. 제안된 모형은 변동성의 최소값이 비-영(non-zero)에서 생기는 특수한 구조의 비대칭 모형이며 AIC 등의 모형선택기준과 더불어 모수적-붓스트랩을 통한 예측분포를 이용하여 원점으로부터의 이동량을 결정할 수 있다. 팬데믹 기간의 국내 종합주가지수(KOSPI) 자료 분석을 통해 모형의 응용 절차를 예시하였다.
Volatility of a time series is defined as the conditional variance on the past information. In particular, for financial time series, volatility is regarded as a time-varying measure of risk for the financial series. To capture the intrinsic asymmetry in the risk of financial series, various asymmetric volatility processes including threshold-ARCH (TARCH, for short) have been proposed in the literature (see, for instance, Choi et al., 2012). This paper proposes a volatility function featuring non-zero origin in which the origin of the volatility is shifted from the zero and therefore the resulting volatility function is certainly asymmetric around zero and achieves the minimum at a non-zero (rather than zero) point. To validate the proposed volatility function, we analyze the Korea stock prices index (KOSPI) time series during the Covid-19 pandemic period for which origin shift to the left of the zero in volatility is shown to be apparent using the minimum AIC as well as via parametric bootstrap verification.
주요어 : 비대칭 변동성, 원점 이동한 변동성, 모수적 붓스트랩
Keywords : asymmetric volatility, parametric bootstrap, volatility with non-zero origin
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