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학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2022.11
- 수록면
- 1,153 - 1,161 (9page)
- DOI
- 10.7465/jkdi.2022.33.6.1153
이용수
초록· 키워드
오류제보하기
This study investigates a monitoring procedure that aims to capture a change of model parameters in time series regarding the volatility index (VIX). To solve this problem, we harness a cumulative sum (CUSUM) process using residuals designed to simultaneously detect changes in both the conditional mean and variance of the time series. To obtain the control limits, limit theorems are used for the CUSUM monitoring process. Thereafter, the scheme of statistical process control (SPC) is applied to the time series of the log-returns of VIX by fitting it with an ARMA-GARCH model to obtain further knowledge regarding the financial market’s participants. Our study indicates the proposed monitoring process’ potential as a tool to allude to imminent significant market crashes.
목차
Abstract
1. Introduction
2. Monitoring scheme on ARMA-GARCH time series
3. Analysis of the VIX index
4. Concluding remarks
References
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UCI(KEPA) : I410-ECN-0101-2023-041-000229019