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Forecasting KOSPI 200 Volatility by Volatility Measurements
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 Title & Authors
Forecasting KOSPI 200 Volatility by Volatility Measurements
Choi, Young-Soo; Lee, Hyun-Jung;
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In this paper, we examine the forecasting KOSPI 200 realized volatility by volatility measurements. The empirical investigation for KOSPI 200 daily returns is done during the period from 3 January 2003 to 29 June 2007. Since Korea Exchange(KRX) will launch VKOSPI futures contract in 2010, forecasting VKOSPI can be an important issue. So we analyze which volatility measurements forecast VKOSPI better. To test this hypothesis, we use 5-minute interval returns to measure realized volatilities. Also, we propose a new methodology that reflects the synchronized bidding and simultaneously takes it account the difference between overnight volatility and intra-daily volatility. The t-test and F-test show that our new realized volatility is not only different from the realized volatility by a conventional method at less than 0.01% significance level, also more stable in summary statistics. We use the correlation analysis, regression analysis, cross validation test to investigate the forecast performance. The empirical result shows that the realized volatility we propose is better than other volatilities, including historical volatility, implied volatility, and convention realized volatility, for forecasting VKOSPI. Also, the regression analysis on the predictive abilities for realized volatility, which is measured by our new methodology and conventional one, shows that VKOSPI is an efficient estimator compared to historical volatility and CRR implied volatility.
High frequency data;realized volatility;volatility index;VKOSPI;volatility forecasting;
 Cited by
비거래시간대 주식시장정보가 장중 주가변동성에 미치는 영향,김선웅;최흥식;

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변동성전이효과를 이용한 장중변동성 트레이딩시스템의 개발에 관한 연구,김선웅;최흥식;

Journal of the Korean Data Analysis Society, 2010. vol.12. 5, pp.2725-2739
주가변동성의 예측성과 비교: 가격범위와 VKOSPI를 중심으로,김선웅;

Journal of the Korean Data Analysis Society, 2011. vol.13. 2, pp.915-925
코스피 200 변동성지수를 이용한 옵션투자 정보시스템의 개발,김선웅;최흥식;오정환;

한국IT서비스학회지, 2014. vol.13. 2, pp.151-161 crossref(new window)
SVM을 이용한 VKOSPI 일 중 변화 예측과 실제 옵션 매매에의 적용,라윤선;최흥식;김선웅;

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