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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31477

    Title: 台指選擇權隱含波動指標預測品質之解析
    Other Titles: The forecasting quality of TXO implied volatility indexes
    Authors: 趙芳靖;Chao, Fang-ching
    Contributors: 淡江大學財務金融學系碩士班
    謝文良;Hsieh, Wen-liang;李進生;Lee, Chin-shen
    Keywords: 波動性;波動性指標;指數選擇權;Volatility;Volatility Index;Index Option
    Date: 2006
    Issue Date: 2010-01-11 00:47:27 (UTC+8)
    Abstract: 芝加哥選擇權交易所在1993年推出以著名的Black-Scholes模型為基礎的波動性指標VXO,在2003年更推出新制的波動性指標VIX,而在台灣,自從2001年台指選擇權上市以來,並沒有正式的波動性指標資訊可供投資者參考,為探討台指選擇權波動性指標的預測能力,本文仿照美國CBOE所公佈的波動性指標編製方法,建立兩種不同的台灣隱含波動性指標,再加入歷史波動模型,以RMSE,MAE,MAPE三種誤差分析加上GMM迴歸分析作為檢視波動性模型預測能力績效,比較何種波動度較接近現貨市場的真實波動性。
    In 1993, Chicago Board Options Exchange (CBOE) introduced the volatility index VXO based on the famous Black-Scholes model and CBOE introduced new volatility index VIX in 2003. In Taiwan, however, since TAIEX options have listed in 2001, there is no formal volatility index information available as reference for investors. To research the forecasting ability of volatility index for TAIEX options, we imitate CBOE’s announced editing method to construct two different Taiwan implied volatility index. The indexes plus historical volatility model can be check the forecasting efficiency of volatility models to compare which one’s volatility is closest to the market’s realized volatility by the regression analysis, GMM and three error analyses including RMSE, MAE and MAPE.
    The result reveals that implied volatility is better than historical volatility model as to explanation for realized volatility and the TVXO edited by the old method is more adaptive than the TVIX with the daily data in the TAIEX options market by the new method. Besides, because the volatility index makes inverse motion with the based weighted index, the VIX is often considered as the inverse-trend indicator to judge the market’s condition.
    To study the relation between volatility and return rate, we find the variation of volatility is negative-correlated with the return rate at the same time point. However, while return rate is positive or negative, the response for variation of volatility is different. The situation that volatility responds more with decline of return rate than with rise of return rate, reveals the volatility having the asymmetry property. In cross-period analysis, compared with return rate, the variation of volatility has the leading property, but the relation in cross-period analysis is not more significant than in the single-period analysis. Conclusively, volatility can be a good estimate for realized volatility and TVXO has better forecasting ability especially. In the future, we will make continuous research and analysis on two indexes and we expect the volatility for Taiwan will be developed.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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