English  |  正體中文  |  简体中文  |  Items with full text/Total items : 51510/86705 (59%)
Visitors : 8265541      Online Users : 91
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
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31756

    Title: 比較現貨與期貨的波動率在TXO市場之預測能力
    Other Titles: Comparison of forecasting ability for spot and futures volatilities : empirical study on txo
    Authors: 曾國書;Tzeng, Guo-shu
    Contributors: 淡江大學財務金融學系碩士班
    段昌文;Duan, Chang-wen
    Keywords: 包含式迴歸;真實波動率;歷史波動率;決定性波動率函數模型;encompassing regression;realized volatility;History Volatilty;deterministic volatility function
    Date: 2009
    Issue Date: 2010-01-11 01:12:56 (UTC+8)
    Abstract: 本文以2001年12月至2008年5月間之台灣加權指數 (TX)、台指選擇權 (TXO)與台指期貨(TXF)日內及日資料,進一步於包含式模型中分別加入歷史波動率 (history volatility, HV)、真實波動率 (realized volatility, RV)、價平選擇權隱含波動率 (at-the money option impilied volatility, ATM)、決定性波動率函數 (deterministic volatility function, DVF) 等波動率預測模型之預測能力,並驗證TXF或台指指數何者可做為投資TXO市場之參考標的物。
    This paper puts the volatility-forecasting models, including history volatility(HV), realized volatility(RV), at-the money option implied volatility(ATM) and deterministic volatility function(DVF) into the encompassing regression to examine the forecasting ability of volatility model for TX, TXO and TXF during December 2001 to May 2008. Also, we verify that TXF or TX which is the better reference object for investing in TXO market. Based on the results of the adjusted-R2 and correlation coefficient of volatility-forecasting models, we find that the forecasting ability for the implied-volatility of TXO is better with volatility-forecasting models of TXF than TX.
    For the forecasting-models of TXF, the history volatility which is estimated by 10-day moving average and the realized volatility which is estimated by 9-minute intraday sampling frequency have the higher explanation ability. By above-mentioned, we can prove that TXF is the better reference object for investing in TXO market than TX. However, in the analysis of investment strategy, the results indicate that the strategy has positive performance, regardless of call or put option strategy. Our results also show that only the investment strategy of 5-day holding period has the positive performance with the consideration of transaction cost.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

    Files in This Item:

    File SizeFormat

    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