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研究生: 洪婉綾
Wan-ling Hong
論文名稱: 隱含波動率曲面變動之預測分析 - TAIEX選擇權之實證
Empirical Study of Predictable Dynamics of Implied Volatility Surface: The Case of TAIEX Options
指導教授: 林丙輝
Bing-Huei Lin
口試委員: 王之彥
none
葉仕國
none
郭家豪
none
學位類別: 碩士
Master
系所名稱: 管理學院 - 財務金融研究所
Graduate Institute of Finance
論文出版年: 2008
畢業學年度: 96
語文別: 英文
論文頁數: 30
中文關鍵詞: 隱含波動率曲面二階段模型
外文關鍵詞: Implied Volatility Surface, two step model
相關次數: 點閱:325下載:1
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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).

Contents CHAPTER 1 Introduction1 CHAPTER 2 Literature Review3 2.1 Option Pricing Model3 2.2 The Viewpoint of Implied Volatility Surface7 CHAPTER 3 Methodology9 3.1.1 The Source of Data9 3.1.2 Data pattern of sample days12 3.2 The Model for Implied Volatility Surface13 3.3 Unit Root Tests14 3.4 The Model for the parameters of Implied Volatility Surface15 3.5.1 The Out-of-Sample Performance16 3.5.2 Diebold and Mariano’s Test for Comparing Predictive Accuracy17 CHAPTER 4 Empirical Results and Analyses18 4.1 Fitting the Implied Volatility Surface18 4.2 Modeling the Dynamics of the Implied Volatility Surface24 4.3 Statistical Results of Predictability26 CHAPTER 5 Conclusion28 Reference29

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