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

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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