(An) empirical study on the continuous-time dynamics of KOSPI200 index = KOSPI200 지수의 연속시간 동적 모형의 실증연구

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In this thesis, we estimate and evaluate different types of continuous-time specifications for the dynamics of stock index using efficient method of moment (EMM) with seminonparametric GARCH type auxiliary model augmented with leverage and level effect on conditional variance. We find that while non-normal conditional density of the asset returns and conditionally heteroskedastic variance with leverage effect are significant for KOSPI200 index in the discrete-time representation of SNP, the dynamics the data generating process for the returns of KOSPI200 index does not deviates much from the traditional specification of lognormal process with constant mean and variance on daily level. In addition, extension of the variance specification to constant elasticity of variance model with negative elasticity, and stochastic volatility model with negative relationship between return and volatility innovations improves performance of capturing the features of daily returns.
Advisors
Kim, In-Joonresearcher김인준researcher
Description
한국과학기술원 : 경영공학전공,
Publisher
한국과학기술원
Issue Date
2005
Identifier
249604/325007  / 020033089
Language
eng
Description

학위논문(석사) - 한국과학기술원 : 경영공학전공, 2005.8, [ 4, 48 p. ]

Keywords

Efficient method of moments; Continuous-time estimation; Stochastic volatility models; 추계적 변동성 모형; 효율적 적률 방법; 연속시간 추정

URI
http://hdl.handle.net/10203/52554
Link
http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=249604&flag=dissertation
Appears in Collection
KGSM-Theses_Master(석사논문)
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