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학술저널

서브프라임과 주가변동성

Sub-Prime and the Volatility of Korean Stock Market

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This paper tries to estimate the volatility of Korean stock market and that of won/dollar exchange rate using jump-diffusion model with GARCH heteroscedasticity during the period from January 3, 1996 to November 11, 2008. According to the empirical results of this study, the volatility of Korean stock market has been increasing since the sub-prime mortgage crisis, but the volatility during the IMF crisis has been higher than the volatility during the sub-prime crisis. Also we have found the same results as to the volatility of won/dollar exchange rate.

Abstract

Ⅰ. 서론

Ⅱ. 이분산성(Heteroscedasticity)을 고려한 점프확산모형(Jump-diffusion model)

Ⅲ. 실증분석

Ⅳ. 결론

참고문헌

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