내생적 국면 전환을 이용한 실현 변동성 모형
An Endogenous Regime Switching Model for Realized Volatility
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초록
본 논문은 금융 시계열의 실현 변동성을 설명하기 위해 내생적 국면 전환을 도입한 새로운 모형을 제안하고 분석하고 있다. 모형은 이질적 자기회귀(hetorogenous autoregressive) 모형을 기반으로 한 두 국면(two-state) 전환 모형이다. 모형에서 가장 중요한 특징은 현재 기의 실현 변동성에 대한 충격이 다음 기 국면 전환에 영향을 미치는 내생적 국면 전환 구조를 도입한 점이다. 본 모형을 일별 S&P 500 지수 수익률의 실현 변동성에 적용한 결과, 변동성이 높은 국면에서는 단기 변동성 요인이 다음 기 변동성에 지배적인 영향을 미치는 반면 변동성이 낮은 국면에서는 장기 변동성 요인이 지배적인 영향을 미치는 것으로 나타났다. 또한 내생적 국면 전환을 도입함에 따라 기존 모형들에 비해 표본기간 내 설명력이 유의하게 개선되는 것으로 나타났다.
Abstract
This paper introduces and analyzes a new model for realized volatility that accommodates endogenous regime switching. The model is based on the heterogeneous autoregressive model and allows for two-state regime switching. Importantly, a current shock to the realized volatility affects the regime switching in the next period. We apply the model to the realized volatility of the daily S&P 500 Index return series. The estimation result shows that the short-term volatility component is the most influential in the high volatility regime while the long-term volatility component is dominant in the low volatility regime. Moreover, the model significantly outperforms existing models in within-sample fitting.
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