학술저널
GARCH류 모형의 VaR 예측력 비교분석
Comparative Analysis of VaR Prediction Ability by GARCH-type Models
- 건국대학교 경제경영연구소
- 상경연구
- 제30권 제1호
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2005.1177 - 102 (26 pages)
- 26
In this paper, we investigate a comparative evaluation of the predictive performance of various VaR estimation models with an emphasis on GARCH-type models. We review some basic theoretical results for GARCH-type models. We analyze the log-return data of KOSPI index by statistical test such as normality test and autocorrelation test. We find that the log-return distribution of KOSPI index has fat-tailedness and volatility clustering tendency since the variance of log-return data has a conditional heteroskedasticity.
I. 서론
II. VaR의 측정
III. GARCH모형을 이용한 VaR의 추정
IV. 실증분석
V. 결론
참고문헌
Abstract
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