Open figure viewer
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.
© 2009 Emerald Publishing Limited
2009
This article is published under the Creative Commons Attribution (CC BY 4.0) licence. Anyone may reproduce, distribute, translate and create derivative works of this article (for both commercial and non-commercial purposes), subject to full attribution to the original publication and authors. The full terms of this licence may be seen at http://creativecommons.org/licences/by/4.0/legalcode
