논문KCI 등재
국채선물과 현물시장의 이변량 변동성 추정에 관한 연구
Estimating the Volatility in KTB Spot and Futures Markets
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참고문헌
키워드
주제분류경영학
초록
Abstract
This paper uses both the bivariate GARCH type BEKK error correction model and Bivariate-AR(1)-Markov-Switching-VECM model to estimate the volatility, time-varying correlation and hedge ratio for the KTB spot and futures indexes, sampled daily over 1/4/2000-10/30/2003. This study suggests that the volatility regime has more significant influence on KTB markets than incline/decline regime does. The results support the importance of the bivariate model in stead of univariate model between KTB spot and futures markets, which may consider not only individual variance process but also covariance process at the same time.
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