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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31639

    Title: GARCH系列模型與台指選擇權VIX指數波動性預測能力之比較
    Other Titles: A comparison of the forecasting performance between GARCH family models and VIX on TAIEX options
    Authors: 曾彥錤;Tseng, Yen-chi
    Contributors: 淡江大學財務金融學系碩士班
    謝文良;Hsieh, Wen-liang
    Keywords: 波動性;一般化自我迴歸條件異質變異數模型;波動性指數;Volatility;GARCH Model;GJR-GARCH Model;VIX
    Date: 2006
    Issue Date: 2010-01-11 01:04:51 (UTC+8)
    Abstract: 由於金融資產的波動性在金融市場(尤其是在台灣這個具有高波動性的市場)扮演重要角色,無論是在風險管理或是衍生性商品的訂價、選擇權的交易與避險等等方面,如何準確預測波動性,一直都是相當重要的課題。本文使用一般化自我迴歸條件異質變異數模型(GARCH)及其修正模型(GJR-GARCH)與台灣期交所所編制台指選擇權波動性(VIX)指數之預測能力來比較,希望找出適合描述台灣金融市場波動性模型。
    Volatility forecasting is very important to derivative pricing, hedging, and risk management. This paper using GARCH, GJR-GARCH models and the VIX index of TAIEX Options to compare their forecasting ability.
    The empirical evidence show that using daily data to forecast the performance, GJR-GARCH model is superior, while using intraday data, the explanatory power of all models are obviously enhanced and errors are also improved. Therefore, we approve that the more intensive data can obtain the higher explanatory power, lower forecasting errors and more information content.
    In summary, we find that the VIX index of TAIEX Options using intraday data seems an unbiased estimator to forecast the real volatility, although it does not have the best performance than other models in MAE and RMSE testing indicators.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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