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한국주요상장사 주가 실현변동성 추정시 시장미시구조 잡음과 최적 추출 빈도수

오로지;신동완
Oh, Rosy;Shin, Dong-Wan

  • 투고 : 2011.12.24
  • 심사 : 2012.01.18
  • 발행 : 2012.02.29

초록

본 논문에서는 KOSPI 시가총액기준 상위 4종목(삼성전자, 현대차, 현대모비스, POSCO)의 고빈도 거래 데이터를 바탕으로 일중 수익률의 실현변동성과 시장미시구조잡음에 대해 연구한다. Volatility signature plot을 통해 실현변동성(Realized Variance; RV)과 편의수정 실현변동성($RV_{AC_1}$)의 편의를 확인하고 시장미시구조 잡음의 특징을 실증적으로 파악한다. 또한, 잡음 대 신호비(Noise-to-Signal Ratio; NSR)를 사용하여, 평균제곱오차(Mean Square Error; MSE) 기준의 실현변동성(RV)과 편의수정 실현변동성($RV_{AC_1}$)의 최적 추출 빈도수를 추정해본다.

키워드

실현변동성;변동성;고빈도 자료;시장 미시구조 잡음;편의

참고문헌

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피인용 문헌

  1. Volatility spillover between the Korean KOSPI and the Hong Kong HSI stock markets vol.23, pp.3, 2016, https://doi.org/10.5351/KJAS.2012.25.1.015
  2. Modeling and Forecasting Realized Volatilities of Korean Financial Assets Featuring Long Memory and Asymmetry vol.43, pp.1, 2014, https://doi.org/10.5351/KJAS.2012.25.1.015

과제정보

연구 과제 주관 기관 : 한국연구재단