요소로 분해하기 위해 GARCH-MIDAS 모형을 사용하였으며, 지속적 변동성을 구성하는 정보변수로는 실현된 변동성(realized volatility)을 활용하였다. 1990~2009년의 표본기간에 대해 모형을 추정한 … based on the GARCH-MIDAS model, in which the long-lived volatility is constructed based on the combination of realized …Korean Abstract: 주식시장에서 관찰되는 변동성은 시간에 따라 변하는 특징이 있는데, 변동성의 지속성을 기준으로 지속적인 변동성(long-lived volatility)과 일시적인 변동성 …

return and its' volatility of exchange rate, bond price, and stock price. We use monthly data and estimate 3-variables GARCH … foreign exchange and stock while it does not affect bond's return. The volatility of the return of all three financial …

English Abstract: We study the volatility forecasts in Korean stock market based on the GARCHMIDAS(GARCH with the Mixed … volatility models. Our results show that the GARCH-MIDAS models generally yield superior predictive power than the widely …Korean Abstract: 본 연구에서는 저빈도의 정보 변수와 고빈도의 금융 변수가 결합된 혼합 빈도 GARCH 모형에 근거하여 우리나라 주식시장의 변동성 예측력을 조사하였다. 이 연구를 통하여 장기적인 …

)간의 가격발견기능에 관한 실증분석을 실시하였다. 이를 위하여 Engle(1982) 및 Bollerslev(1896)의 ARCH 및 GARCH을 확장한 MA(1)-GARCH(1,1)-M모형 및 VECM(Vector Error … return data. We use MA(1)-GARCH(1,1)-M model introduced by Engle(1982) and extended by Bollerslev(1986)and VECM(Vector Error … as follows; First, there is a strong evidence that conditional mean and volatility spillovers between KOSDAQ50 index spot …

more appropriate than GARCH in specifying volatility. Also, we obtain the results that pairs of consecutive returns with … effects on volatility. Sequences are pairs of consecutive returns with the same sign and reversals pairs of consecutive … useful to analyze the effects on volatility of sequences and reversals. The empirical results show that General CHARMA is …

November 5, 2012 to curb excessive volatility and unfair trades, and thus promote efficient price discovery. There are two … reversals, increasing volatility and turnover after the halt period. These results mean that the price discovery function of the … temporary volatility and unfair trades, and it is needed to complement the mechanism …