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GARCH 모형을 이용한 한국 원화의 환율변동성 추정
Exchange Rate Volatility Estimation Using GARCH Models, with Reference to Korean Won Against US Dollar
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- 발행기관
- 한국무역통상학회 바로가기
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- 간행물
- 무역통상학회지 KCI 등재 바로가기
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- 통권
- 제16권 제3호 (2016.09)바로가기
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- 페이지
- pp.35-50
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- 저자
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- 언어
- 한국어(KOR)
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- URL
- https://www.earticle.net/Article/A285237
※ 원문제공기관과의 협약기간이 종료되어 열람이 제한될 수 있습니다.
원문정보
초록
- 영어
- Exchange rate volatility estimation is considered as an important concept in many economic and financial applications like currency rate risk management, asset pricing, and portfolio allocation. This paper attempts to explore the comparative ability of different statistical and econometric volatility forecasting models in the context of Korean won against US dollar, using 1,677 daily observations over a period of 7 years from June 1, 2009 to February 19, 2016. These data series are obtained from one of the most reliable sources in Korea, i.e., BOK online database. In this study, daily returns are the first difference in logarithm of closing prices of won exchange rate of successive days. This paper uses the Generalized Autoregressive Conditional Heteroskedastic (GARCH) models to estimate volatility (conditional variance) in the daily log won value. Three different models are considered in this study. The volatility of the won exchange rate returns is modeled by using univariate GARCH models. These models are GARCH(1, 1), EGARCH(1, 1) and GJR(1, 1) for log difference of won exchange rate return series against US dollar. The models include both symmetric and asymmetric that capture the most common stylized facts about won exchange returns such as volatility clustering and leverage effect. In addition to the issues associated with the volatility itself, there is also the matter of the asymmetric nature of it, where the downward movements in the foreign exchange markets are marked by a higher volatility than upward movements of the same amplitude. It is evident from the findings that asymmetric models are superior to symmetric models in providing a better fit for the exchange rate volatility because of leverage effect.
목차
Abstract
Ⅰ. 서론
Ⅱ. 변동성 모형 도입
Ⅲ. 변동성 모형 추정과 충격반응
Ⅳ. 결론
참고문헌
키워드
exponential GARCH GARCH asymmetric volatility model exchange rate저자
간행물 정보
발행기관
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- 발행기관명
- 한국무역통상학회 [Korea Research Association of International Commerce]
- 설립연도
- 2000
- 분야
- 사회과학>무역학
- 소개
- 국제무역에 관한 학술활동 1. 연구발표회 개최 2. 학술지 간행 3. 산학협동을 위한 조사 연구 4. 국제학술교류 5. 기타 학회 목적에 부합하는 사업
간행물
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- 간행물명
- 무역통상학회지 [Journal of Korea Research Association of International Commerce]
- 간기
- 격월간
- pISSN
- 1738-4354
- 수록기간
- 2001~2025
- 등재여부
- KCI 등재
- 십진분류
- KDC 326 DDC 380
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