초록

본 논문에서는 Engle(1982)이 ARCH모형을 제시한 이후에, 각국의 금융시장의 변동성 추정과 예측을 위하여 ARCH/GARCH를 확장한 다양한 GARCH계열 모형들이 발명되었으나, 그 실증성과에 대해서는 완벽하게 일치된 결과가 없는데 주목한다. 본 연구에서는 실무에서 널리 활용되는 변동성 모형인 RiskMetrics접근법과, 다양하게 확장된 GARCH계열 모형들, 그리고 투자자들의 미래에 대한 기대와 정서를 반영하는 미국의 변동성 지수(VIX)모형에 대해, 세계의 학계 및 투자자들에게 연구 및 투자의 기준이 될 수 있는 미국의 주식시장에 대한 대표지수인 S&P500지수의 변동성 예측성과를 기준으로 모형의 실증성과를 측정한다. 또한, 옵션 및 기초자산시장으로부터 도출된, 투자자들의 미래에 대한 전망과 기대치를 담고 있다고 알려진, 내재변동성으로서의 VIX가 주가지수의 수익률과 어떤 관계를 가지고 있는지를 살펴보고, GARCH모형의 틀 하에서 변동성의 움직임에 대한 추가적인 설명력을 갖는지를 조사한다.

키워드

실증성과, GARCH, VIX, RiskMetrics, S&P500지수

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