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).
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