변동성 예측모형의 실증성과에 관한 연구: 미국시장을 중심으로 = An Empirical Study on Volatility Forecasting Models: The Case of the U. S. Market

국문 초록 (Abstract)

본 논문에서는 Engle(1982)이 ARCH모형을 제시한 이후에, 각국의 금융시장의 변동성 추정과 예측을 위하여 ARCH/GARCH를 확장한 다양한 GARCH계열 모형들이 발명되었으나, 그 실증성과에 대해서는 완벽하게 일치된 결과가 없는데 주목한다. 본 연구에서는 실무에서 널리 활용되는 변동성 모형인 RiskMetrics접근법과, 다양하게 확장된 GARCH계열 모형들, 그리고 투자자들의 미래에 대한 기대와 정서를 반영하는 미국의 변동성 지수(VIX)모형에 대해, 세계의 학계 및 투자자들에게 연구및 투자의 기준이 될 수 있는 미국의 주식시장에 대한 대표지수인 S&P500지수의 변동성 예측성과를 기준으로 모형의 실증성과를 측정한다. 또한, 옵션 및 기초자산시장으로부터 도출된, 투자자들의 미래에 대한 전망과 기대치를 담고 있다고 알려진, 내재변동성으로서의 VIX가 주가지수의 수익률과 어떤 관계를 가지고 있는지를 살펴보고, GARCH모형의 틀 하에서 변동성의 움직임에 대한 추가적인 설명력을 갖는지를 조사한다.

다국어 초록 (Multilingual Abstract)

This study is motivated by the current situation that there is little consensus on which GARCH or related forecasting models exhibit the best empirical performance in forecasting the future realized volatility. By analyzing the S&P500 index, which is the representative stock market index of the U.S. market, we compare the forecasting performances of the RiskMetrics approach, the various GARCH-family models, and the implied volatility index (VIX) that is extracted from the market prices of the S&P500 index options. We also examine the property of the VIX as the proxy for the stock market volatility and the relation between the VIX and the stock market return. In addition, we measure the additional information content that is contained in the VIX under the framework of the GARCH-family models.

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