本研究採用向量自我迴歸模型分析美國與台灣選擇權市場間隱含波動度之關係。以美國與台灣作為比較標的是因為美國為世界經濟領導國家，而台灣為相對小型的經濟體，其市場行為國際整體趨勢之追隨者。本文分為三個部分進行探討:第一部分為分析台灣與美國股市之波動度指數間連動關係，發現在資料樣本期間(2011-2017)美國股市之波動度指數大多領先台灣股市之波動度指數，第二部分為分析兩國股市之波動度指數與基於時間序列模型估計之波動度並進行比較，其中所採用的兩種波動度估計模型分別為EWMA及GARCH(1,1)，研究發現上述的波動度彼此間皆具有共整合關係，其中兩種模型估計出之波動度對於波動度指數皆具有相當的解釋能力。第三部分為比較由兩國股市指數選擇權價格所估算的買賣權隱含波動度間之關係，研究發現對美國市場而言，股價指數買權具有較大的市場影響力。反之，對於台灣市場而言，股價指數賣權則具有較大的影響力。

In this study, vector autoregressive model (VAR) is used to analyze the implied volatilities in the stock markets of the US and Taiwan. The reason for comparing the US with Taiwan is because the US is commonly seen as the dominant economy, but Taiwan usually acts as a follower of the global trend. The study is divided into three parts. Firstly, the relationship between the volatility indexes of the US and Taiwan is investigated. It is observed that the volatility index of the US market generally leads the volatility index of Taiwan market. Secondly, time series models such as EWMA and GARCH (1,1) are used to predict the future volatility of the US and Taiwan stock markets. The results show that these volatilities are all cointegrated and the predicted volatilities based on the two models can both nicely explain the movements of volatility indexes. Thirdly, the relations between the implied volatilities calculated from the call and put options on the stock indexes of both countries are examined. The results show that, for the US market, call options are considered to have stronger impacts on the market than put options. On the contrary, for Taiwan market, put options tend to have relatively stronger impacts than call options.

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