한국과 아시아 신흥주식시장 변동성의 효율적인 예측방법에 관한 연구 = An Empirical Study on Efficient Forecasting Method of Korea and Asian Emerging Stock Market`s Volatility

다국어 초록 (Multilingual Abstract)

Ability to forecast volatility of market is critical to analysts, investors and policy makers. A large number of methods are available for forecasting volatility. This study obtains volatility forecasts from time series models. ARMA-ARCH/GARCH time series model is applied to time series of stock index returns. This study uses stock index closing prices of Korea and Asian emerging stock market. This study calculate realized volatility of the stock index prices. Then compare with the volatility forecasts for corresponding horizons(5 trading day and 20 trading day). This study uses two criteria to evaluate forecast efficiency: (a) mean absolute error(MAE) and root mean squares error(RMSE) of forecasted volatility over a particular horizon with respect to volatility realized over that horizons, and (b) test of differences in the means of forecasts compared to realized volatility. The result of this study suggest that the volatility forecasting models of asian emerging stock markets and the forecasting performance of their models are statistically significant.

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