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      실현변동성과 경제정책의 불확실성에 관한 연구 = A Study on the Economic Policy Uncertainty and Realized Volatility

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      https://www.riss.kr/link?id=A107880322

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      다국어 초록 (Multilingual Abstract)

      This study used the HAR-RV model and the HAR-CJ model in five countries (Korea, the United States, the United Kingdom, China, and Japan) from January 4, 2010 to December 31, 2020 to demonstrate whether the economic policy uncertainty index has significant information on changes in future stock price index realized volatility. The results of the study over the sample period are as follows. First, the volatility dependence continued to be quite high, and the relative influence of daily volatility factors decreased as they moved from the daily regression model to the monthly regression model. Second, the jump component of realized volatility was largely insignificantly estimated, and the significantly estimated parameters were almost negative (-). Third, the impact of economic policy uncertainty(EPU) on realized volatility was statistically significant in the United States, China, and Japan, and the model's explanatory power was shown to increase when EPU was included in the model. In particular, there is a difference in the sign of parameters: positive (+) in the United States and Japan and negative (-) in China. Fourth, the evaluation of prediction accuracy with two loss functions (MSE, MAE) shows that the model, including EPU, usually has a small prediction loss.
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      This study used the HAR-RV model and the HAR-CJ model in five countries (Korea, the United States, the United Kingdom, China, and Japan) from January 4, 2010 to December 31, 2020 to demonstrate whether the economic policy uncertainty index has signifi...

      This study used the HAR-RV model and the HAR-CJ model in five countries (Korea, the United States, the United Kingdom, China, and Japan) from January 4, 2010 to December 31, 2020 to demonstrate whether the economic policy uncertainty index has significant information on changes in future stock price index realized volatility. The results of the study over the sample period are as follows. First, the volatility dependence continued to be quite high, and the relative influence of daily volatility factors decreased as they moved from the daily regression model to the monthly regression model. Second, the jump component of realized volatility was largely insignificantly estimated, and the significantly estimated parameters were almost negative (-). Third, the impact of economic policy uncertainty(EPU) on realized volatility was statistically significant in the United States, China, and Japan, and the model's explanatory power was shown to increase when EPU was included in the model. In particular, there is a difference in the sign of parameters: positive (+) in the United States and Japan and negative (-) in China. Fourth, the evaluation of prediction accuracy with two loss functions (MSE, MAE) shows that the model, including EPU, usually has a small prediction loss.

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      참고문헌 (Reference)

      1 Muller, U. A., "Volatilities of different time resolutions-analyzing the dynamics of market components" 4 : 213-239, 1997

      2 Huang, X., "The relative contribution of jumps to total price variance" 3 : 456-499, 2005

      3 Andersen, T. G., "The distribution of realzed stock return volatility" 61 : 43-76, 2001

      4 Breidit, F. J., "The detection and estimation of long-memory in stochastic volatility" 83 : 325-348, 1998

      5 Brogaard, J., "The asset-pricing implications of government economic policy uncertainty" 61 : 3-18, 2015

      6 Barndorff-Nielsen, O. E., "Power and bipower variation with stochastic volatility and jumps" 2 : 1-37, 2004

      7 Merton, R. C, "On estimating the expected return on the market : an exploratory investigation" 8 : 323-361, 1980

      8 Baker, S. R., "Measuring Economic Policy Uncertainty" NBER 2015

      9 Comte, F., "Long memory in continuous time stochastic volatility models" 8 : 291-323, 1998

      10 Baillie, R. T., "Fractionally integrated generalized autoregressive conditional heteroskedasticity" 74 : 3-30, 1996

      1 Muller, U. A., "Volatilities of different time resolutions-analyzing the dynamics of market components" 4 : 213-239, 1997

      2 Huang, X., "The relative contribution of jumps to total price variance" 3 : 456-499, 2005

      3 Andersen, T. G., "The distribution of realzed stock return volatility" 61 : 43-76, 2001

      4 Breidit, F. J., "The detection and estimation of long-memory in stochastic volatility" 83 : 325-348, 1998

      5 Brogaard, J., "The asset-pricing implications of government economic policy uncertainty" 61 : 3-18, 2015

      6 Barndorff-Nielsen, O. E., "Power and bipower variation with stochastic volatility and jumps" 2 : 1-37, 2004

      7 Merton, R. C, "On estimating the expected return on the market : an exploratory investigation" 8 : 323-361, 1980

      8 Baker, S. R., "Measuring Economic Policy Uncertainty" NBER 2015

      9 Comte, F., "Long memory in continuous time stochastic volatility models" 8 : 291-323, 1998

      10 Baillie, R. T., "Fractionally integrated generalized autoregressive conditional heteroskedasticity" 74 : 3-30, 1996

      11 Nelson, D. B, "Filtering and forecasting with misspecified ARCH models Ⅰ : getting the right variance with the wrong model" 52 : 61-90, 1992

      12 Barndorff-Nielsen, O. E., "Estimating quadratic variation using realized variance" 17 : 457-478, 2002

      13 Karnizova, L., "Economic policy uncertainty, financial markets and probability of US recessions" 125 : 261-265, 2014

      14 Colombo, V, "Economic policy uncertainty in the US : Does it matter for the Euro area?" 121 : 39-42, 2013

      15 Barndorff-Nielsen, O. E., "Econometrics of testing for jumps in financial economics using bipower variation" 4 : 1-30, 2006

      16 Barndorff-Nielsen, O. E., "Econometric analysis of realized volatility and its use in estimating stochastic volatility models" 64 : 253-280, 2002

      17 Antonakakis, N., "Dynamic co-movements of stock market returns, implied volatility and policy uncertainty" 120 : 87-92, 2013

      18 Wang, Y., "Commodity price changes and the predictability of economic policy uncertainty" 127 : 39-42, 2015

      19 윤병조, "Bayesian Time-Varying Parameter VAR 모형을 이용한 아시아 주식시장과 경제정책 불확실성에 관한 연구" 한국국제경영관리학회 24 (24): 85-93, 2020

      20 Andersen, T. G., "Answering the skeptics : yes, standard volatility models do provide accurate forecasts" 39 : 885-905, 1998

      21 Dacorogna, M. M., "An introduction to high-frequency finance" Academic Press 2001

      22 Meddahi, N, "A theoretical comparison between integrated and realized volatility" 17 : 479-508, 2002

      23 Corsi, F, "A simple long memory model of realized volatility"

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      학술지 이력

      학술지 이력
      연월일 이력구분 이력상세 등재구분
      2026 평가예정 재인증평가 신청대상 (재인증)
      2020-01-01 평가 등재학술지 유지 (재인증) KCI등재
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      2014-03-25 학술지명변경 외국어명 : Korean Association of Financial Engineering -> Korean Journal of Financial Engineering KCI등재
      2014-03-17 학회명변경 영문명 : The Korean Journal Of Financial Engineering -> Korean Association of Financial Engineering KCI등재
      2014-03-14 학술지명변경 외국어명 : The Korean Journal of Financial Engineering -> Korean Association of Financial Engineering KCI등재
      2013-01-01 평가 등재학술지 유지 (등재유지) KCI등재
      2010-01-01 평가 등재학술지 선정 (등재후보2차) KCI등재
      2009-01-01 평가 등재후보 1차 PASS (등재후보1차) KCI등재후보
      2008-01-01 평가 등재후보 1차 FAIL (등재후보1차) KCI등재후보
      2006-01-01 평가 등재후보학술지 선정 (신규평가) KCI등재후보
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      학술지 인용정보

      학술지 인용정보
      기준연도 WOS-KCI 통합IF(2년) KCIF(2년) KCIF(3년)
      2016 0.38 0.38 0.55
      KCIF(4년) KCIF(5년) 중심성지수(3년) 즉시성지수
      0.61 0.66 1.029 0
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