本研究使用兩階段預測方式，對臺指選擇權進行實證分析。首先對每日在市場交易的選擇權之隱含波動率配適平滑公式，以價性、到期期間為解釋變數，隱含波動率為被解釋變數，利用簡單迴歸估計出平滑公式的係數，發現所得到的係數，具有隨時間改變的性質。第二階段則將迴歸所得的係數代入VAR模型，對迴歸係數做預測，再利用修正過的迴歸係數做為更新平滑公式的係數，並對隱含波動率曲面作預測；利用二階段的預測方式，可以增加橫斷面模型對隱含波動率曲面的配適效果，然而對隱含波動率曲面的預測效果卻無顯著地較佳。

In this paper, we present a two-step approach to model the cross-sectional and time series dimensions of the TAIEX options implied volatility surface. In the first step, we model the surface as a function of polynomials in moneyness and time to expiration. In the second step, we model the dynamics of the cross-sectional first-step implied volatility surface coefficients by VAR models. We attain that the TAIEX options implied volatility surface can be successfully modeled. Nevertheless, in a statistical sense, the predictability of its movements over time performs no better than the random walk model. Our cross-sectional results complement the time-series findings of Dumas et al. (1998) and Goncalves et al. (2006).

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