변동성 요소분해모형을 이용한 한국주가의 장·단기변동성의 관련성에 대한 연구

This study attempts to estimate the volatility of the stock price index and examine the relevance of each element after decomposing the temporary and permanent element using the ACGARCH model. First, the short-term volatility(γ) of Engle and Lee(1993) shows that there are the significant leverage effect and transitory(short-run) asymmetric volatility with almost positive value except Japan and UK, France of prior to the crisis in ACGARCH model. Second, the time-varying short-run volatility(α+0.5γ+β) of Hadsell(2006) is not significantly increased in the mean reversion period. Korea has the highest value(α+0.5γ+β) in the mean reversion period, but the average value(α+0.5γ+β) is the lowest in the high volatility regime. Third, in pre-crisis, the long-term average volatility(ρ) of Engle and Lee(1993) increase volatility and expand some asymmetry. The long-run volatility(ρ) in the stock market is greater than the short-run volatility(α+0.5γ+β) of Hadsell(2006) over almost all periods. Thus we found that the increase in volatility could be considered due to the long-term volatility and the leverage effect or asymmetry of volatility were identified in sign and size test. And there were the conditional mean and volatility spillover effects and asymmetric effects, so we confirmed that the stock markets were closely related among the six own or cross markets through the multivariate VEC and asymmetric BEKK model.