本研究以2011年12月(含)以前於台灣公開發行的亞洲區域股票型基金35檔為研究對象，藉著GARCH(1,1)-M模型探討VIX指數與臺指選擇權波動率指數(以下簡稱TVIX)對共同基金績效的影響。研究結果顯示，經Kupiec(1995)檢定，發現VIX指數對共同基金績效是有影響的且係數估計值全數為負。VIX指數對個別共同基金績效呈現顯著負向影響。此外，TVIX指數對共同基金績效亦是有影響的且係數估計值全數為負，經Kupiec(1995)檢定，亦發現TVIX指數與個別共同基金績效呈現顯著負向影響。本研究的結果可作為投資台灣公開發行的亞洲區域股票型基金之投資人的參考。 The study researches the 35 Asia-Pacific regional equity funds issued in Taiwan before Dec. 2011 and discusses the influence of VIX Index and the Taiwan Volatility Index (TVIX) on the performance of mutual funds by using GARCH (1,1)-M Model. The result of study shows, Kupiec (1995) verification an influential relation between VIX and the mutual funds and the coefficient estimated values are all negative which indicate the negative relation between the performance of mutual funds and VIX. The study shows the same negative influential relation and coefficient estimated values between TVIX and performance of mutual funds. The result of the study could be a reference to the investors who invest Asia-Pacific regional equity funds.
