VKOSPI와 실현변동성을 이용한 변동성 위험프리미엄의 동태적 추정
Estimation of volatility risk premia using VKOSPI and realized volatility
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초록
위험중립측도(risk-neutral measure) 하에서 계산되는 내재변동성은 실현변동성과 변동성 위험프리미엄의 함수로 표시될 수 있다. 본 연구에서는 옵션에 내재된 변동성 지수인 VKOSPI와 실현변동성 간의 관계를 이용하여 변동성 위험프리미엄을 추정하고자 한다. 시간가변적인 변동성 위험프리미엄은 경제변수들에 의존하는 모형을 가정하였다.추정결과 변동성 위험프리미엄은 시간에 따라 상당한 변화를 보이고 있으며 환율변화에 대해 가장 민감한 반응을 보이고 있다. 추정된 위험프리미엄은 KOSPI 지수 수익률에 대해 유의적인 예측력을 나타내고 있으며 우리나라의 국가 신용부도스왑(CDS) 스프레드의 변화와도 밀접한 관계를 보이는 것으로 나타났다.
Abstract
Implied volatility which is calculated under risk-neutral measure is represented as a function of realized volatility and volatility risk premium. Using the relation between the realized volatility and VKOSPI which is an option implied volatility index, we estimate volatility risk premium. Allowing for the time variation of risk premium, we assume autoregressive form of risk premium function which as driven by shocks from state variables. Estimation results show that volatility risk premia varies according to the economic states. It shows the most sensitive response for the exchange rate movement. Estimated volatility risk premia series have a great deal of predictive power for the movement of stock index return. The series can also be used for the explanation of the movement of sovereign credit default swap (CDS) spread.
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