지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
커뮤니티
연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
초록· 키워드
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This study delves on the forecasting performance of three range volatility estimators with ARMA, GARCH, and 2-regime SETAR filters using the KOSPI 200 daily opening, highest, lowest, and closing prices. RMSE has been used as an evaluation criterion. The results of this analysis can be summarized as follows. First, three range volatility estimators showed relatively inferior forecasting performance during the volatile periods but relatively superior forecasting performance throughout the stable periods. Second, Parkinson, and Garman and Klass volatility estimators had much better forecasting performance with a linear ARMA filter while Rogers and Satchell volatility estimator came up with better forecasting performance with nonlinear GARCH and 2-regime SETAR filters. Third, a linear ARMA filter contributed to produce superior forecasting performance with Parkinson, and Garman and Klass volatility estimators while a nonlinear 2-regime SETAR filter helped produce superior forecasting performance with Rogers and Satchell volatility estimator which was designed to reflect the trend into the price process. It is interesting that a GARCH filter always presented a fair forecasting performance regardless of market conditions and the type of range volatility estimators.
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참고문헌 (19)
참고문헌 신청
Andersen, Torben G. / 1997 / Intraday Periodicity and Volatility Persistence in Finanacial Markets / Journal of Empirical Finance 4 : 115 ~ 158
Andersen, Torben G. / 1998 / Answering the Skeptics: Yes, Standard Volatility Models do provide Accurate Forecasts / International Economic Review 39 : 885 ~ 905
Awartani, Basel M. / 2005 / Predicting the Volatility of the S&P-500 Stock Index via GARCH models: the Role of Asymmetries / International Journal of Forecasting 21 : 167
Bali, Turan G. / 2005 / A Comparative Study of Alternative Extreme-Value Volatility Estimators / Journal of Futures Markets 25 : 873 ~ 892
Brailsford, Timothy J. / 1996 / An Evaluation of Volatility Forecasting Techniques / Journal of Banking and Finance 20 : 419 ~ 438
Andersen, Torben G. / 1998 / Answering the Skeptics: Yes, Standard Volatility Models do provide Accurate Forecasts / International Economic Review 39 : 885 ~ 905
Awartani, Basel M. / 2005 / Predicting the Volatility of the S&P-500 Stock Index via GARCH models: the Role of Asymmetries / International Journal of Forecasting 21 : 167
Bali, Turan G. / 2005 / A Comparative Study of Alternative Extreme-Value Volatility Estimators / Journal of Futures Markets 25 : 873 ~ 892
Brailsford, Timothy J. / 1996 / An Evaluation of Volatility Forecasting Techniques / Journal of Banking and Finance 20 : 419 ~ 438
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