Effects of Intraday Patterns on a Time Series Analysis of the Korean Stock Market Index

Kim, Doo Hwan; Maeng, Seong Eun; Bang, Yu Sik; Choi, Hyung Wooc; Cha, Moon-Yong; Lee, Jae Woo

doi:10.3938/jkps.58.396

Cited by 4 publications

(1 citation statement)

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“…Investment institutions and investors benefit from early detection of stock market movements. However, the stock market is a typical complex system with great uncertainty and volatility (Hwan et al, 2011). Therefore, stock market forecast is an important and challenging issue.…”

Section: Introductionmentioning

confidence: 99%

Daily return distribution forecast incorporating intraday high frequency information in China’s stock market

Yao

Huang

Cai

2022

Economic Research-Ekonomska Istraživanja

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The stock market forecast is an important and challenging issue. Its distribution forecast of returns can provide information that is more complete, compared to point forecast and interval forecast. As intraday high-frequency information is available, we incorporate intraday returns into the predictive modelling of daily return distribution in two ways: realized volatility and scale calibration. Three parametric models, EGARCH, EGARCH-X, and realGARCH, and two nonparametric models, NP and realNP, are used. Our improved NP model, the realNP model, is based on intraday returns calibration. The results show that intraday information improves goodness-of-fit and forecasting effect, and the realGARCH model is relatively the best. According to the realNP model results, the intraday returns can only contribute about a 30% description of the daily distribution and less than 1% information for a one-step-ahead distribution forecast. Furthermore, three combinations are considered, and the log-score and CRPS combinations are found to have direction predictability and excess profitability statistically. The non-short-selling situation consistently has more excess profits than the short-selling situation, which implies that the non-short-selling rule protects investors. This study reveals the importance of incorporating intraday information and model combinations for stock market forecast modelling.

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Section: Introductionmentioning

confidence: 99%

Daily return distribution forecast incorporating intraday high frequency information in China’s stock market

Yao

Huang

Cai

2022

Economic Research-Ekonomska Istraživanja

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Dynamical analyses of the time series for three foreign exchange rates

Kim

Jung

et al. 2012

Journal of the Korean Physical Society

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Multifractal analysis of implied volatility in index options

2014

Journal of the Korean Physical Society

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In this paper, we analyze the statistical and the non-linear properties of the log-variations in implied volatility for the CAC40, DAX and S&P 500 daily index options. The price of an index option is generally represented by its implied volatility surface, including its smile and skew properties. We utilize a Lévy process model as the underlying asset to deepen our understanding of the intrinsic property of the implied volatility in the index options and estimate the implied volatility surface. We find that the options pricing models with the exponential Lévy model can reproduce the smile or sneer features of the implied volatility that are observed in real options markets. We study the variation in the implied volatility for at-the-money index call and put options, and we find that the distribution function follows a power-law distribution with an exponent of 3.5 ≤ γ ≤ 4.5. Especially, the variation in the implied volatility exhibits multifractal spectral characteristics, and the global financial crisis has influenced the complexity of the option markets.

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Effects of Intraday Patterns on a Time Series Analysis of the Korean Stock Market Index

Cited by 4 publications

References 0 publications

Daily return distribution forecast incorporating intraday high frequency information in China’s stock market

Daily return distribution forecast incorporating intraday high frequency information in China’s stock market

Dynamical analyses of the time series for three foreign exchange rates

Multifractal analysis of implied volatility in index options

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