국제 통화옵션의 변동성예측에 관한 연구

Forecasting future volatility is an important factor to project derivatives prices going forward(Poon and Granger, 2003). Even though the rigorous papers of volatility estimations have been explored in equity market both locally and globally, the currency market, however, has few papers in this area. Andersen et al.(2001) exhibit estimates of daily exchange rate volatility but they consider only deutsch mark and yen. This paper investigates the six major developed market currency in dollar index and the Korean Won as an emerging market currency. As shown in this paper, first, unlike normal distribution, the realized volatility distribution in global currency market has long tail in right hand side. And also the autocorrelations of the realized volatility of emerging market currency Korean Won decay very slowly to below 0.5 after 84 trading days, which is somewhat larger than those of developed market currency. It seems that this is possible long memory effect. The findings of slow autocorrelation decay through the ARFIMA model may suggest that long memory of Korean Won volatility. Second, the implied volatility is not found to be an unbiased estimator of future realized volatility. Third, the ARMA(2,1) is the right model in realized volatility in considered currency through the time-series analysis, while the optimal ARMA model varies in the implied volatility and historical volatility.