한국주요상장사 주가 실현변동성 추정시 시장미시구조 잡음과 최적 추출 빈도수

Oh, Rosy;Shin, Dong-Wan

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


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.


실현변동성;변동성;고빈도 자료;시장 미시구조 잡음;편의


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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,
  2. Modeling and Forecasting Realized Volatilities of Korean Financial Assets Featuring Long Memory and Asymmetry vol.43, pp.1, 2014,


연구 과제 주관 기관 : 한국연구재단