초고빈도 주가지수의 연속적인 파워변동과 이산적 변동성 점프에 대한 비모수적 추정
Nonparametric Estimation of the Continuous Power Variation and Discrete Volatility Jumps in the Ultra-high Frequency Stock Prices
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초록
본 연구는 2001년-2010년 동안 미국의 SPC500 주가지수의 하루 5분 간격의초고빈도자료(총 208,054개 관측치)를 사용하여 미국 SPC500 주가지수 수익률을 새로운 분석기법인비모수적 실현 변동성과 변동성 파워 이론을 사용하여 주가지수 수익률의 연속적 변동성과 불연속적점프변동성, 그리고 점프 통계량과 점프 발생확률에 대한 추정과 실증분석을 하였다. 2001년-2010년동안의 초고빈도 SPC500 주가지수에 대한 분석결과, 실현된 수익률(RR), 실현된 수익률의 변동(RV),그리고 실현된 수익률의 Bipower 변동성(BV) 모두 변동성집중현상을 보이고 있는데 특히 2009년전후에 변동성이 크게 나타났다. SPC500 주가지수의 실현된 수익률의 변동성은 2002년, 2004년,2006년, 2008년에 다소의 불규칙적인 점프가 종종 있었고, 특히 세계금융위기가 있었던 2008년 이후2009년 전후로 아주 큰 점프가 상당히 크게 그리고 자주 발생하였다. SPC500 주가지수 변동성의Bipower, Tripower, Quad-power, Min RV와 Med RV 등을 사용하여 여러 점프통계량을 추정하고검정한 결과, 2004년, 2006년, 그리고 2008년경에 점프 통계량이 종종 상당히 크게 나타나고 있으며2010년 전후에도 매우 큰 점프 통계량을 보이고 있으며 2000년 1월부터 2010년 9월말 까지 거의전 기간에 걸쳐 유의한 불연속적인 점프가 발생하고 있으며, 대체로 10일 혹은 2주 전후에 한 번씩유의한 점프가 발생하였다.
Abstract
This paper analyzes the realized jump volatility and jump probability of US SPC500 returns using the ultra-high frequency such as the five minute returns spanning the period from January 2001 through September 2010. The realized rate of returns, realized variation and realized bipower variation have the characteristics of nonnormal distributions and the volatility clustering effects. The volatility of US SPC500 appeared appreciably large in years 2002. 2004, 2006 and 2008, and especially large in year 2009 during which the world financial crisis occurred. The empirical results show that many large jumps appeared right after the world financial crisis. Especially before and after the year 2009, the realized variations had the extremely large discrete jumps and appreciably large jumps occurred in years 2002, 2004, 2006 and 2008, respectively. The empirical estimates also show that the realized US SPC500 five minute returns have the jump probability that there is at least one significant jump per five or seven days using the Tripower quarticity, nine or ten days using Quad-power quarticity, ten or twenty days using Min realized variation(Min RV) and Med realized variation(Med RV) during January 2001 through September 2010 at common critical levels.
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