波動率指數與股市之共同跳躍關係

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Title:	波動率指數與股市之共同跳躍關係
Other Titles:	The correlated jump relationship between volatility index and equity index
Authors:	高如潔;Kao, Ju-chieh
Contributors:	淡江大學財務金融學系碩士在職專班邱建良
Keywords:	VIX指數;ARJI模型;GBP-GARCH 模型;相關跳躍強度;VIX;ARJI Model;GBP-GARCH Model;Jump Intensity
Date:	2010
Issue Date:	2010-09-23 15:26:10 (UTC+8)
Abstract:	本研究以1990年1月2日至 2009年5月 29日的VIX指數與S&P 500現貨資料為研究對象，分別以ARJI模型及CBP-GARCH模型，來探討VIX與S&P 500現貨的跳躍狀況，及VIX與S&P 500現貨相關跳躍強度隨時間變動之共移性現象。由ARJI模型的結果，可得知VIX與S&P 500現貨各自具有跳躍行為；由CBP-GARCH模型的結果，可觀察到VIX較S&P 500現貨的跳躍波動性大，跳躍強度也較大，此外VIX與S&P 500現貨具有共同跳躍行為，且其共同跳躍強度是隨時間變動的；最後藉由VIX與S&P 500現貨的相關跳躍強度，找出了八個相關跳躍強度之共移事件，並分析其背景資料，由此結果可知，在某些訊息的衝擊下，VIX與S&P 500現貨產生較明顯的相關波動現象，且其相關跳躍強度隨時間變動之共移現象時點一致。 This thesis adopts the ARJI model to realize the jump activity in VIX and S&P 500. In addition, this thesis also applies the CBP-GARCH model to analyze the discontinuous jump and the time-varying correlated jump intensity for VIX and S&P 500 over the period extending from January 2, 1990 to May 29, 2009. The empirical results include：(1) VIX and S&P 500 have jump activity respectively by ARJI model. (2) The jump intensity and jump volatility of VIX are stronger than S&P 500 by CBP-GARCH model. On the other hand, there are the common jump activity between VIX and S&P 500. (3) It is discovered that the correlated jump intensity at the time the events take place are all higher than either before or after the respective events, as is the case with the correlated jump intensity time-varying co-movements.
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Thesis

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