Korean Abstract: 주식시장에서 관찰되는 변동성은 시간에 따라 변하는 특징이 있는데, 변동성의 지속성을 기준으로 지속적인 변동성(long-lived volatility)과 일시적인 변동성 …(short-lived volatility)으로 구분할 수 있다. 본 연구에서는 한국 주식시장의 변동성을 지속적 요소와 일시적 요소로 분해하였으며, 지속적 변동성에서 관찰되는 주요 특징과 거시경제적 관련성을 분석하였다. 전체 변동성을 지속적 요소와 일시적 … 요소로 분해하기 위해 GARCH-MIDAS 모형을 사용하였으며, 지속적 변동성을 구성하는 정보변수로는 실현된 변동성(realized volatility)을 활용하였다. 1990~2009년의 표본기간에 대해 모형을 추정한 …

November 5, 2012 to curb excessive volatility and unfair trades, and thus promote efficient price discovery. There are two … reversals, increasing volatility and turnover after the halt period. These results mean that the price discovery function of the … temporary volatility and unfair trades, and it is needed to complement the mechanism …

return and its' volatility of exchange rate, bond price, and stock price. We use monthly data and estimate 3-variables GARCH … foreign exchange and stock while it does not affect bond's return. The volatility of the return of all three financial …

English Abstract: We study the volatility forecasts in Korean stock market based on the GARCHMIDAS(GARCH with the Mixed … work, we analyze the effect of long-term components of macroeconomic variables on predictability of stock market volatility … stock volatility. In addition to in-sample estimation, we conduct out-of-sample forecasts to investigate adequacy of …

as follows; First, there is a strong evidence that conditional mean and volatility spillovers between KOSDAQ50 index spot …

effects on volatility. Sequences are pairs of consecutive returns with the same sign and reversals pairs of consecutive … useful to analyze the effects on volatility of sequences and reversals. The empirical results show that General CHARMA is … more appropriate than GARCH in specifying volatility. Also, we obtain the results that pairs of consecutive returns with …