변동성 예측모형의 실증성과에 관한 연구: 미국시장을 중심으로 = An Empirical Study on Volatility Forecasting Models: The Case of the U. S. Market

다국어 초록 (Multilingual Abstract)

This study is motivated by the current situation that there is little consensus on which GARCH or related forecasting models exhibit the best empirical performance in forecasting the future realized volatility. By analyzing the S&P500 index, which is the representative stock market index of the U.S. market, we compare the forecasting performances of the RiskMetrics approach, the various GARCH-family models, and the implied volatility index (VIX) that is extracted from the market prices of the S&P500 index options. We also examine the property of the VIX as the proxy for the stock market volatility and the relation between the VIX and the stock market return. In addition, we measure the additional information content that is contained in the VIX under the framework of the GARCH-family models.

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