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파워 변동성과 불연속적인 일중 점프 및 일간 점프의 주기성에 대한 비모수적 추정

Nonparametric Estimation of Periodicity of Power Volatility and Discontinuous Daily Jump and Intraday Jump

이재득
한국계량경제학회|2014.03|계량경제학보 (Journal of Economic Theory and Econometrics)|제25권 제1호|pp. 27-57|DOI 10.22812/jetem.2014.25.1.003

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참고문헌

키워드

실현된 불연속 점프변동성의 주기성주기성 필터점프통계량Realized VolatilityDiscrete Jump VolatilityPeriodicity of VolatilityJump Statistic
주제분류경제학

초록

본 연구는 비모수적 실현 변동성 추정방법을 사용하여 2000년대 미국의 SPC500 주가지수의 불연속적인 점프의 존재와 그 점프의 유의성을 추정하였다. 특히 본 연구는 하루 5분 간격의 고빈도자료를 이용하여 효율적인 추정량을 얻기 위하여 ROWV와 ROWQ를 도입하고 여러 가지 변동성의 주기성 필터를 사용에 따른 점프 확률을 추정하고 비교하였다. 실증분석결과 변동성의 주기성 필터들인 MAD, Short Half Scale, WSD 들을 점프 통계량에 고려하지 아니 하였을 때는 5분간의 SPC500의 주가수익률은 적어도 2일 혹은 3일 만에 한 번씩 유의한 점프가 발생하였다. 그러나 변동성의 주기성 필터 들인 MAD, Short Half Scale, WSD 들을 점프 통계량에 고려하였을 때는 5분간의 SPC500의 주가수익률은 변동성의 주기성을 도입하지 않았을 때보다 좀 더 작은 점프 확률이 나타났다. 점프추정에 있어 Max outlyingness를 도입하였지만 MAD, Short Half Scale, WSD 등의 변동성 필터들을 고려하지 않았을 때는 5일 내지 6일 만에 한 번씩 불연속적인 점프가 발생하였다. 그러나 Max outlyingness를 도입하고 변동성 필터들을 고려하였을 때는 9일 내지 10일 만에 한 번씩 유의적인 불연속적인 점프가 발생하였다.

Abstract

This paper uses a new nonparametric realized volatility model by summing intraday squared returns to explain the discrete jumps and then estimates whether the jumps are significant or not according to derived jump statistics. In particular, this paper includes the periodicity filters of volatility and then analyzes and compares the recent realized discrete jump volatility of US SPC500 returns using the ultra-high frequency five minute returns spanning the period from January 2000 through September 2010 during which volatility was extremely large after year 2009. In the application to the US SPC500 stock price, the empirical estimates show that when we do not include the periodicity filters of volatility such as MAD, Short Half Scale and WSD using ROWV and ROWQ, the five minute returns have the jump probability that there is at least one significant jump per two or three days. When we consider the periodicity filters of volatility, the five minute returns of US SPC500 stock have a little bit smaller jump probabilities. When we include Max outlyingness in the jumps but do not include the filters such as MAD, Short Half Scale and WSD, the five minute returns of US SPC500 stock have the discrete jumps in five or six days. But when we include the volatility filters such as MAD, Short Half Scale and WSD they have the discrete jumps in nine or ten days during this the period from January 2000 through September 2010.

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