全球经济政策不确定性对韩国KOSPI股市波动的影响  

The Impact of Global Economic Policy Uncertainty on the Long-Term Volatility of the South Korean KOSPI Stock Market

作　　者：李顺 

机构地区：[1]韩国檀国大学工商管理学院,韩国 龙仁

出　　处：《金融》2024年第2期596-601,共6页Finance

摘　　要：本研究采用GJR-GARCH-MIDAS模型,探讨全球经济政策不确定性(GEPU)对韩国KOSPI股市波动的影响。主要结果如下:首先,已实现波动率的增加对股市长期成分波动有显著正向影响;其次,全球经济政策不确定性对KOSPI股市长期波动产生显著负向影响;最后,在GJR-GARCH-MIDAS模型中同时考虑已实现波动率和全球经济政策不确定性时,对股市长期波动的预测显著提升,相较于基准模型,最大可降低6.7%的预测损失。This study employs the GJR-GARCH-MIDAS model to investigate the impact of global economic policy uncertainty (GEPU) on the volatility of the South Korean KOSPI stock market. The main empirical results are as follows: Firstly, The increase in realized volatility has a significant positive impact on the long-term component volatility of the stock market. Secondly, global economic policy uncertainty negatively affects the long-term volatility component of the KOSPI stock market. Finally, when inputting both realized volatility and global economic policy uncertainty factors in the GJR-GARCH-MIDAS model, the prediction (result) of the long-term component volatility of the stock market significantly improves, reducing prediction loss up to 6.7%, as compared to the base line model.

关 键 词：GJR-GARCH-MIDAS 全球经济政策不确定性(GEPU) KOSPI股市 

分 类 号：F83[经济管理—金融学]