淡江大學機構典藏:Item 987654321/31741
English  |  正體中文  |  简体中文  |  Items with full text/Total items : 62805/95882 (66%)
Visitors : 3983555      Online Users : 576
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/31741


    Title: 臺灣選擇權隱含波動度之資訊內涵與預測能力
    Other Titles: The information content and forecasting ability of taiex options implied volatility
    台灣選擇權隱含波動度之資訊內涵與預測能力
    Authors: 陳敏夫;Chen, Min-fu
    Contributors: 淡江大學財務金融學系碩士班
    林蒼祥;Lin, William T.
    Keywords: 隱含波動度;無模型;波動度指數;資訊內涵;Implied volatility;Model-Free;information content;VIX
    Date: 2008
    Issue Date: 2010-01-11 01:11:51 (UTC+8)
    Abstract: 本研究利用台灣股價指數選擇權資料來檢驗BS模型基礎下隱含波動度與無模型建構下隱含波動度的預測能力及其所包含的資訊，試圖找出一個可做為未來真實波動率最佳的預測指標，希望能提供台灣股市交易者一個較佳的參考資訊。本文除了比較了歷史波動度、BS隱含波動度和Britten-Jones and Neuberger (2000)所提出的無模型隱含波動度外，亦考慮了台灣期貨交易所近年所引用CBOE分別在1993與2003年所推出的新舊兩種波動度指數(VXO、VIX)與其修正的台灣選擇權波動度指數(TVXO)。
    本文的實證研究結果發現，所有的隱含波動度預測值皆包含了未來實現波動度一定程度的資訊在內，資訊內涵也較歷史波動度來的多。在BS模型基礎下所計算出的隱含波動度中，使用多種履約價格算出的隱含波動度，對於未來實現波動度將會比使用單一履約價格的隱含波動度保留更多的資訊。無模型建構下的隱含波動度使用了不同履約價格的選擇權資訊而計算的，相較於BS模型的隱含波動度而言，無模型設定的隱含波動度對於未來波動度保留了較多的資訊。預測能力也較只使用單一履約價格的BS隱含波動度來的高。
    This article use the data of TAIEX Options to test the information contain and forecast ability of the Black-Scholes implied volatility and the model-free implied volatility, try to find a more efficient indices of real volatility. This article not only compare the Black-Scholes implied volatility and the model-free implied volatility which were derived by Britten-Jones and Neuberger (2000), but also consider the market volatility indices which were introduced by CBOE in 1993 and 2003(VIX and VXO) and the TAIEX Options volatility indices by Taiwan(TVXO).
    The empirical study in this article finds that all the implied volatility subsumes some information contained of the realized volatility, and the information contain of implied volatility is more than historical volatility. And our results from TAIEX Options support that the model-free implied volatility subsumes more information contained than the Black-Scholes implied volatility and historical volatility and is a more efficient forecast for future realized volatility.
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Thesis

    Files in This Item:

    File SizeFormat
    0KbUnknown340View/Open

    All items in 機構典藏 are protected by copyright, with all rights reserved.

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - Feedback