Earticle

초록

영어

This article develops a new conditional jump model to study jump dynamics in Korean stock market index return. We propose a simple filter to infer the ex post distribution of jumps. This permits construction of the shock affecting the time t conditional jump intensity and is the main input into an autoregressive conditional jump intensity model. The model allows the conditional jump intensity to be time-varying and follows an approximate autoregressive moving average(ARMA) form. The time series characteristics of 11 years of four East-asian daily index returns are analysed using the jump model coupled with a generalized autoregressive conditional heteroskedasticity(GARCH) specification of volatility. We find significant time variation in the conditional jump intensity and evidence of time variation in the jump size distribution. Also, the most proper model is varied by sample data or period. And, the jump intensity and jump size are also different between countries. The jump shock is persistent, but the expected result of the switching in the jump direction did not found. This issue should be explored in future works.

목차

I. 서론
  1. 연구의 목적
  2. 논문의 구성
 II. 동적 조건부 점프모형
 III. 실증분석
  1. 자료 및 기술통계량
  2. 고정강도 점프모형의 추정
  3. ARJI모형의 추정
 IV. 결론
 참고문헌
 ABSTRACT

키워드

저자

• 최완수 [ Wan-Soo, Choi | 평택대학교 경영학과 조교수 ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330