Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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Performance Evaluation of the ACD Models for Analysing the Transaction Data of the KOSPI Stocks

주식 거래 자료 분석을 위한 ACD 모형 성능 비교

  • Published : 2009.01.31
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Abstract

Engle and Russell (1998) proposed the ACD(Autoregressive Conditional Duration) model to explain the relationship between the prices and the duration times of the stocks. In this paper, we first introduce the various types of the ACD models such as the linear ACD, log ACD and Box-Cox ACD models and we evaluate the performance of the models for analysing the transaction data of the stocks in Korea.

Engle과 Russell (1998)의 ACD 모형은 재무학에서 가격과 거래 시간의 밀접한 관계에 대한 관심을 불러 일으켰다. ACD 모형은 GARCH 모형과의 유사성을 바탕으로 Box-Cox 변환과 충격 함수 곡선(shocks impact curve)을 적용시켜 Log ACD, Power ACD, Box-Cox ACD 등과 같은 보다 유연한 모형으로 일반화될 수 있다. 본 연구에서는 이와 같이 일반화된 ACD 모형들을 국내 주식시장에서 거래되고 있는 주식의 price duration에 적용시켜 그 성능을 비교해보고자 한다.

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References

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