Intraday Volatility and Volatility spill-over Effects in KTB and Won/Dollar Futures Markets

Abstract

We analyze the dynamic behavior of the volatility of KTB futures price through GARCH models. In conducting this analysis we use two type data. Using dailly data we analyze the return and volatility spill-over effect between KTB spot and futures. Through 15-minute and 5-minute data we analyze return and volatility spill-over effect between KTB futures and won/dollar futures. We find that ARCH and GARCH effect exists in the volatility of KTB futures, but leverage effect does not exist in this data. Volatility spill-over effect was found only in 15-minute data. Lead and lag effect was found in 15-minute data of dollar and KTB futures where dollar return leads KTB futures and KTB volatility leads dollar volatility. In the daily data we found that KTB futures return lead KTB spot return while mutual spill-over existed between spot and futures in volatility data. Since conditional heteroscedasticity exists in KTB futures we need to consider the these effects in building up systems for arbitrage, valuation and risk management.

Citation

Yun, C.H., Jo, T.G. and Han, S.I. (2002), "Intraday Volatility and Volatility spill-over Effects in KTB and Won/Dollar Futures Markets", Journal of Derivatives and Quantitative Studies: 선물연구, Vol. 10 No. 2, pp. 115-144. https://doi.org/10.1108/JDQS-02-2002-B0005