Abstract
This paper tried to find out whether the information from foreign capital markets can improve the forecasting power for the realized volatility of KOSPI200 index. The realized volatility is estimated by using both daily return series and 5 minutes intraday data of KOSPI200. The volatilities of S&P100 return series and Won/Dollar exchange rate are considered as the information from foreign capital markets, and the volatility of Korean domestic interest rate is introduced as an additional variable to improve the forecasting power for the realized volatility of KOSPI200 returns. It turns out that those additional variables are statistically significant to improve the forecasting power for the realized volatility of KOSPI200.
Keywords
Citation
Yoo, S. and Koh, J.Y. (2009), "A Research on Enhancing Forecasting Power for the Realized Volatility of KOSPI200", Journal of Derivatives and Quantitative Studies: 선물연구, Vol. 17 No. 1, pp. 21-49. https://doi.org/10.1108/JDQS-01-2009-B0002
Publisher
:Emerald Publishing Limited
Copyright © 2009 Emerald Publishing Limited
License
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