KOSPI200의 변동성 추정방법에 따른 VaR 비교 연구 = A Comparison of Value at Risk by the Estimation Models of KOSPI200 Return Volatility

다국어 초록 (Multilingual Abstract)

The purpose of this study is to compare the performance of Value at Risk through GARCH, EGARCH, GJR-GARCH, and APARCH model by using daily returns of KOSPI200 index from Jan. 1990 to Sep. 2005. For estimating the parameter of the models, maximum likelihood method was employed for GARCH, EGARCH, GJRGARCH, and APARCH model, respectively. Value at Risks were forecasted for 3 periods- i.e., entire period, before IMF period, and after IMF period- and compared with realized returns in out-of-sample. The results are as follows : First, though EGARCH model brought in exception more than GARCH. GJR-GARCH, and APARCH model, it was verified as a valid model with the exception of the entire period. GARCH model brought in exception more than EGARCH. GJR-GARCH, and APARCH model, it was verified as a valid model with the exception of the before IMF period. Second, EGARCH model outperformed GARCH. GJR-GARCH, and APARCH model in accuracy in RSE test. Judging from the results of this study, it was verified that EGARCH model can be adapted as a method to forecast VaR of KOSPI200 Index.

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