Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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VaR Estimation via Transformed GARCH Models

변환된 GARCH 모형을 활용한 VaR 추정

  • Park, Ju-Yeon (Department of Statistics, Sookmyung Women's University) ;
  • Yeo, In-Kwon (Department of Statistics, Sookmyung Women's University)
  • 박주연 (숙명여자대학교 통계학과) ;
  • 여인권 (숙명여자대학교 통계학과)
  • Received : 20090800
  • Accepted : 20090900
  • Published : 2009.11.30
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Abstract

In this paper, we investigate the approach to estimate VaR under the transformed GARCH model. The time series are transformed to approximate to the underlying distribution of error terms and then the parameters and the one-sided prediction interval are estimated with the transformed data. The back-transformation is applied to compute the VaR in the original data scale. The analyses on the asset returns of KOSPI and KOSDAQ are presented to verify the accuracy of the coverage probabilities of the proposed VaR.

이 논문에서는 GARCH 모형에서 가정한 오차향의 분포에 근접하도록 자료를 변환하고 변환된 자료를 이용하여 모수와 예측구간을 구한 후 다시 역변환을 통해 원래의 척도에서의 VaR을 계산하는 방법에 대해 알아본다. KOSPI와 KOSDAQ 수익률을 이동시키며 VaR을 계산하고 이들 VaR의 포함확률을 계산하여 병목수준에 얼마나 근접하는지를 알아봄으로써 변환-역변환 방법과 변환을 적용하지 않는 방법의 결과를 비교해 본다.

Keywords

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