The Korean Journal of Applied Statistics (응용통계연구)

The Korean Statistical Society (한국통계학회)
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A Graphical Improvement in Volatility Analysis for Financial Series

시계열 변동성 그래프의 개선

  • Lee, Jeong Won (Department of Statistics, Sookmyung Women's University) ;
  • Yoon, Jae Eun (Department of Statistics, Sookmyung Women's University) ;
  • Hwang, Sun Young (Department of Statistics, Sookmyung Women's University)
  • 이정원 (숙명여자대학교 통계학과) ;
  • 윤재은 (숙명여자대학교 통계학과) ;
  • 황선영 (숙명여자대학교 통계학과)
  • Received : 2013.08.12
  • Accepted : 2013.08.26
  • Published : 2013.10.31
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Abstract

News Impact Curves(NIC) developed by Engle and Ng (1993) have been useful for graphically representing the volatilities arising from financial time series. Adding an improvement and refinement to the original NIC, this article proposes so called two dimensional NIC and principal component NIC. We illustrate the methodology via Kosdaq data.

News impact curves(NIC)는 1993년 Engle와 Ng에 의하여 제시되었으며, 이는 시계열 자료에서 발생하는 변동성을 시각적으로 나타내는데 용이하다. 본 논문에서는 기존의 NIC에서 더 나아가, 2차원 NIC(two dimensional NIC)와 주성분 NIC(PCA in NIC)를 제안하였으며, KOSDAQ 자료에서 적용하여 보았다.

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References

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  3. Multivariate Volatility Analysis via Canonical Correlations for Financial Time Series vol.27, pp.7, 2014, https://doi.org/10.5351/KJAS.2014.27.7.1139