GARCH류 모형의 VaR 예측력 비교분석

• 영문명: Comparative Analysis of VaR Prediction Ability by GARCH-type Models
• 발행기관: 건국대학교 경제경영연구소
• 저자명: 최인녕(In Nyoung Choi) 여성칠(Sung Chil Yeo)
• 간행물 정보: 『상경연구』제30권 제1호, 77~102쪽, 전체 26쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2005.11.30

영문 초록

In this paper, we investigate a comparative evaluation of the predictive performance of various VaR estimation models with an emphasis on GARCH-type models. We review some basic theoretical results for GARCH-type models. We analyze the log-return data of KOSPI index by statistical test such as normality test and autocorrelation test. We find that the log-return distribution of KOSPI index has fat-tailedness and volatility clustering tendency since the variance of log-return data has a conditional heteroskedasticity.

목차

I. 서론

II. VaR의 측정

III. GARCH모형을 이용한 VaR의 추정

IV. 실증분석

V. 결론

참고문헌

Abstract