Earticle

초록

영어

This paper develops a new family of models of generalized autoregressive heteroskedasticity (GARCH). The family captures the asymmetry in volatility based on a non-parametric method, namely spline method. Specifically, this paper proposes cubic and quadratic Spline-GARCH models. These models extend the partially non-parametric (PNP) GARCH model of Engle and Ng (1993) , which is based on piecewise linear functions. This paper also introduces cubic and quadratic Spline-EGARCH models which are generalized versions of Nelson(1991)’s exponential GARCH model. Due to the non-parametric nature of the proposed models, they are free from mis-specification problems which most of existing parametric models may suffer from. Using daily KOSPI return data for the period from January 1990 to June 2000, we find that the proposed models perform better in terms of likelihood values than other existing models including PNP GARCH model and Hentschel (1995) ’s model, and that the quadratic Spline GARCH model , among proposed models, is the most parsimonious in capturing the asymmetric volatility in the data. The empirical examinations of the news impact curve also reveal that the existing parametric models over-estimate the volatility generated from extreme shocks and that they fail to incorporate so-called 'threshold effect' of a large positive shock. Further empirical investigation of the new models in risk management and out-of sample performance would be of considerable interest.

목차

요약
 I. 서론
 II. Spline-(E)GARCH 모형
  1. Spline 방법의 소개
  2. Spllne-GARCH 모형
  3. Splrne-EGARCH
 III. 자료와 실증분석 결과
  1. 자료의 기술적 통계량
  2. 모수적 모형 (Parametric Model)의 추정 결과
  3. PNP 모형의 추정 결과
  4. Spllne-(E)GARCH 모형의 추정 결과
 IV. 결론
 부록 
 참고문헌
 Abstract

키워드

저자

• 구본일 [ Bonil Ku | 연세대학교 경영학과 교수 ]
• 엄영호 [ Youngho Eom | 연세대학교 경영학과 조교수 ]
• 최완수 [ Wansoo Choi | 연세대학교 재무연구센터 선임연구원 ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  재무연구 [Asian Review of Financial Research]

• 간기

  계간

• pISSN

  1229-0351

• eISSN

  2713-6531

• 수록기간

  1988~2026

• 등재여부

  KCI 등재,SCOPUS

• 십진분류

  KDC 325 DDC 330