한국 KOSPI시장의 GARCH-VaR 측정모형 및 분포간 성과평가에 관한 연구：롱 및 숏 포지션 전략을 중심으로
Comparing Among GARCH-VaR Models and Distributions from Korean Stock Market (KOSPI)：Focusing on Long and Short Positions
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초록
본 논문은 1980년 1월부터 2004년 9월까지 한국 거래소 시장수익률을 이용하여 RiskMetrics, GARCH, IGARCH, GJR, APARCH 등의 모형에 정규분포, 스튜던트 t분포, 왜도 스튜던트 t분포 등을 이용하여 어느 분포를 가진 모형이 보다 더 정확한 VaR을 추정할 수 있는지를 실증검증 하였다. 실증결과 표본 내 검증 시 모든 신뢰수준(90%～99.9%)에서 롱 포지션 전략에서는 λ=0.87를 가진 IGARCH 모형 및 왜도 스튜던트 t분포가 가장 우월하며, 숏 포지션 전략에서는 GARCH 및 GJR 모형이 그리고 왜도 스튜던트 t분포가 가장 우월하였고, 99% 이상의 신뢰수준에서는 또한 λ=0.87를 가진 IGARCH 모형이 롱 및 숏 포지션 양 전략에서 우월하였다. 또한 분포의 경우 롱 포지션에서 왜도 스튜던트 t분포, 숏 포지션에서 스튜던트 t분포가 가장 우월하였다. 표본 외 검증에서도 동일한 결과를 제시하고 있다.
Abstract
This paper examines and estimates GARCH-VaR models (RiskMetrics, GARCH, IGARCH, GJR and APARCH) with three different distributions such as Gaussian normal, Student-t, Skewness Student-t Distribution using the daily price data from Korean Stock Market during Jan. 1, 1980-Sept. 30, 2004. It also compares them. In-sample test, this finds that for all confidence level as 90%～99.9%, the performance and accuracy of IGARCH with λ=0.87 and skewness Student-t distribution are superior to other models and distributions in long position, but GARCH and GJR with Skewness Student-t distribution in short position. For above 99% confidence level, the performance and accuracy of IGARCH with λ=0.87 in both long and short positions are superior to other models and distributions, but Skewness Student-t distribution for long position and Student-t distribution for short position are more accuracy and superior to other distributions. In-out-of sample test, these results also confirm the evidences that the above findings are consistent as well.
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