지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
커뮤니티
연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
초록· 키워드
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This study is to analyse the timing of the structural change of price volatility and the asymmetry of price volatility during the period before and after the timing of the structural change of price volatility using Jeju Farming Olive Flounder's production area market price data from January 1, 2007 to June 30, 2013. The analysis methods of Quandt-Andrews break point test and Threshold GARCH model are employed. The empirical results of this study are summarized as follows: First, the result of Quandt-Andrews break point test shows that a single structural change in price volatility occurred on May 4, 2010 over the sample period. Second, during the period before structural change, daily price change rate has averagely positive value which means price increase, but during the period after structural change daily price change rate has averagely negative value which means price decrease. Also, daily volatility of price change rate during the period before structural change is higher than during the period after structural change. This indicates that price volatility decreases after structural change. Third, the estimation results of Threshold GARCH Model show that the volatility response against price increase is larger during the period after structural change than during the period before structural change. Also the result shows the volatility response against price decrease is larger during the period after structural change than during the period before structural change. And, irrespective of the timing of structural change, price increase has an larger effect on volatility than price decrease. This means volatility is asymmetric at price increase.
목차
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참고문헌 (14)
참고문헌 신청
Andrews, D. W. K. / 1993 / Tests for Parameter Instability and Structural Change with Unknown Change Point / Econometrica 61(4):821~856
Bera, A. / 1980 / Efficient Tests for Normality, Heteroskedasticity, and Serial Independence of Regression Residuals / Economic Letters 6:225~259
Bollerslev, T. / 1986 / Generalized Autoregressive Conditional Heteroskedasticity / Journal of Economaetrics 31:307~327
Cho, D. / 2006 / Introductory Financial Econometrics / Cheogram :343~344
Engle, R. F. / 1982 / Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation / Econometrica 55:987~1007
Bera, A. / 1980 / Efficient Tests for Normality, Heteroskedasticity, and Serial Independence of Regression Residuals / Economic Letters 6:225~259
Bollerslev, T. / 1986 / Generalized Autoregressive Conditional Heteroskedasticity / Journal of Economaetrics 31:307~327
Cho, D. / 2006 / Introductory Financial Econometrics / Cheogram :343~344
Engle, R. F. / 1982 / Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation / Econometrica 55:987~1007
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