자산 수익률의 정형화된 특성: 외환 수익률의 경우

Abstract

Purpose - The purpose of this study is to examine foreign currency returns’ statistical features and check if these properties are consistent with the stylized facts of asset returns. Design/methodology/approach - This study have employed the data of three major foreign currency returns for the period from Jan. 2011 to Dec 2024. Time series analysis methodologies including correlogram, normality tests, kernel density estimation, unit root tests, GARCH model, and asymmetric GARCH models have been used in the statistical analysis. Findings - We find that US dollar, Japanese yen, and euro exhibit return behaviors which generally consistent with most of the stylized facts of asset returns examined. However, the foreign currency returns exhibit asymmetric volatility feature which has opposite direction with already known asymmetric volatility patterns. Research implications or Originality - In Korean market, foreign currency returns have similar statistical properties with conventional asset returns. It appears that foreign currencies’ asymmetric volatility pattern need more examinations in the future studies