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Please use this identifier to cite or link to this item: http://ntour.ntou.edu.tw:8080/ir/handle/987654321/13027

Title: 台指選擇權波動率模型建立與預測能力之比較分析:波動率指數VIX及其資訊內涵
A Study on the Volatility Models and its Forecasting Performance on Taiwan Index Option:VIX and its Information Contents
Authors: Pe-Gi Wu
吳佩琪
Contributors: NTOU:Institute of Applied Economics
國立臺灣海洋大學:應用經濟研究所
Keywords: 選擇權;B-S模型;GARCH系列模型;VIX指標;隱含波動率
option;B-S model;GARCH family models;VIX;implied volatility
Date: 2006
Issue Date: 2011-06-30T07:09:33Z
Abstract: 摘要 本文旨在探討台指選擇權之波動率與其預測能力之比較,因此依據歷史波動模型、GARCH模型、GARCH-M模型、EGRACH模型、GJR-GARCH模型、B-S模型及VIX指標來建構所需之模型,並與真實波動率比較各模型之預測績效,選取預測股價報酬波動率的最適模型。同時,為印證考量在過去股票報酬率的衝擊下預期能幫助波動率之預測,遂於GARCH系列模型中納入隱含波動率,藉此瞭解其所包含之資訊內涵,研究期間為2002年3月21日至2006年12月20日,其實證結果如下: 一、歷史波動率與加權股價走勢大致相同,表示投資人可藉由歷史波動率判斷股價報酬。二、B-S模型設算的隱含波動率,表現不如VIX指標與時間序列模型。三、本文所估算之VIX指標大致符合恐慌指標的特性。四、選擇權市場存在波動叢聚現象與不對稱效果。五、納入前期VIX指標使波動叢聚降低的效果最為顯著,且使波動叢聚由正轉負,說明VIX指標與股價報酬率之間成反轉關係。六、納入前期交易量的解釋能力不如前期VIX指標。七、就整體績效而言,GARCH系列模型之預測能力最佳,其次是歷史波動率模型,接著是VIX指標,最後為B-S之隱含波動率。
Abstract The purpose of this study is to establish the volatility models and its forecasting performance on Taiwan index option. This applies the following seven single variate models, such as historical volatility model, GARCH model, GARCH-M model, EGARCH model, GJR-GARCH model and VIX, to forecast the volatility of the Taiwan index option. Compare real volatility with the above seven models and them forecast performance , the GARCH family models is optimization in the option markets, The sample period is from March 21, 2002 to November 20, 2006. Major conclusions of this study are shown as follows. First, the result of the historical volatility is approximate Taiwan Stock Price Index, the investor can use the historical volatility to judge returns. Second, VIX and time-series models provide better forecasts of financial volatility than the implied volatility of B-S model. Third, in this study the VIX conform to property of the investor fear gauge. Fourth, there exists the volatility clustering phenomenon and an asymmetric effect in the option market. Fifth, after taking the return of the VIX into the GARCH family models, the volatility clustering effect will be reduced and the forecasting of the volatility will perform better. Sixth, the VIX into the GARCH family models, the volatility clustering effect will be reduced better than the trading volume. Seventh, by comparing the forecasting performance of the volatility form the above seven models mentioned, the GARCH family models ranked the best, the VIX ranked the second, and the implied volatility of B-S model ranked the third.
URI: http://ethesys.lib.ntou.edu.tw/cdrfb3/record/#G0M94350002
http://ntour.ntou.edu.tw/ir/handle/987654321/13027
Appears in Collections:[應用經濟研究所] 博碩士論文

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