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한국개발연구. Vol. 15, No. 4, December 1993, pp. 155-173
https://doi.org/10.23895/kdijep.1993.15.4.155
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Magnitude Effect and Asymmetry Effect in Stock Return Volatility (Written in Korean)
Abstract
주식수익률의 조건부분산의 움직임을 모형화하기 위하여 Engle(1982)의 ARCH(Autoregressive Conditional Heteroskedasticity)모형을 효시로 많은 종류의 모형이 제시되어 왔다. 이 가운데서 Nelson(1991)의 EGARCH(Exponential Generalized ARCH)는 종래의 모형에 비하여 여러 가지 장점을 지니고 있는 모형이다. 그러나 EGARCH에서는 비기대수익률(unexpected return)이 조건부분산에 미치는 규모효과(magnitude effect)와 비대칭효과(asymmetry effect)의 영향이 동일한 동태(dynamics)를 보인다고 가정하고 있다. 본 논문은 이 가정을 완화하였을 때 규모효과와 비대칭효과가 매우 다른 동태를 가지며, 특히 규모효과의 영향은 오래 지속되는 반면 비대칭효과는 비교적 빠르게 사라짐을 보여준다.
JEL Code
G12
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Other articles from this issue
- An Annual Macroeconomic Model of the Korean Economy and Policy Shock Simulation (Written in Korean)
- Labor Productivity and Optimal Wage in North Korea: A Study on the Quality of North Korean Labor (Written in Korean)
- Endogenous Growth Model: The Theoretical Structure and Implications (Written in Korean)
- Impact of Backing for Money on Inflation: An Implication on the Central Bank's Discount Policy in Korea (Written in Korean)
- The Price Effect and the Incidence of the Property Tax (Written in Korean)
- Magnitude Effect and Asymmetry Effect in Stock Return Volatility (Written in Korean)
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