KOSPI200 과 S&P500지수 선물가격 변동성의 예측에 관한 연구

Abstract

자산수익률의 표준편차, 즉 변동성은 현대재무이론에서 중요한 관심사항으로 되어왔다. 변동성은 CAPM에 의해 표현되는 자산가격결정의 이론적인 모형인 평균-분산 포트폴리오이론에 대한 중요한 구성요소이고 수익률 분포이론과 사건연구방법론에 대한 필수불가결한 투입물이다. 그리고 변동성은 실제 투자자들의 투자전략의 성공여부에 결정적으로 영향을 미치고 있다. ?結? 따라 본 논문은 한국과 미국의 주가지수선물시장의 자료를 가지고 시계열모형을 사용하여 효율적인 변동성예측모형을 발견하고자 한다.

Standard deviation of security returns(volatility) have been a major concern for modern finance. They are a key ingredient for the mean-variance portfolio theory, theoretical models of asset pricing represented by the CAPM and an indispensible input for the return distribution theory and event study methodology. For more practical for the return distribution theory and event study methodology. For more practical reasons, investors are concerned about the movement of volatilities that critically affects their financial success. Therefore We will find efficient model of volatility forecasting using time series model in stock index futures markets of Korean and U.S.

Standard deviation of security returns(volatility) have been a major concern for modern finance. They are a key ingredient for the mean-variance portfolio theory, theoretical models of asset pricing represented by the CAPM and an indispensible input for the return distribution theory and event study methodology. For more practical for the return distribution theory and event study methodology. For more practical reasons, investors are concerned about the movement of volatilities that critically affects their financial success. Therefore We will find efficient model of volatility forecasting using time series model in stock index futures markets of Korean and U.S.