발틱 건화물운임지수의 변동성과 뉴스충격

다국어 초록 (Multilingual Abstract)

There is little doubt that the volatility of economic variables is, to a degree, forecastable. Therefore, a considerable amount of research has been devoted to predicting this volatility more accurately. This is mainly accomplished by estimating a GARCH model. Most researchers, however, differ on how the predictability of this volatility should be modeled. The most appealing feature of these approaches is that many volatility models have been proposed to incorporate the asymmetric or leverage effect. This study applies the news impact curve as a standard measure of how news is incorporated into volatility estimates. Conclusions are drawn as to the most suitable model after four volatility models are estimated and compared. This paper shows that three leverage models have problems in capturing the correct impact of news on volatility and that negative shocks do not introduce more volatility than positive shocks. Specifically, the GARCH model successfully reveals the shape of the news impact curve and is a useful approach to modeling conditional heteroscedasticity of BDI.

목차 (Table of Contents)

• Abstract
• Ⅰ. 서론
• Ⅱ. 변동성 모형도입
• Ⅲ. 변동성 모형의 추정과 뉴스충격곡선
• Ⅳ. 결론
• 참고문헌
• 〈부도〉

참고문헌 (Reference)

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