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系統識別號 U0002-2106200923353700
中文論文名稱 台指選擇權波動性預測模型的比較
英文論文名稱 A comparison of TAIEX Options volatility forecasting models
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士班
系所名稱(英) Department of Banking and Finance
學年度 97
學期 2
出版年 98
研究生中文姓名 王俞淳
研究生英文姓名 Yu-Chun Wang
學號 696530400
學位類別 碩士
語文別 中文
口試日期 2009-05-27
論文頁數 79頁
口試委員 指導教授-林蒼祥
指導教授-段昌文
委員-丁予嘉
委員-邱靖博
委員-顧廣平
中文關鍵字 無模型隱含波動性  波動性指數  包含式迴歸 
英文關鍵字 Model-Free implied volatility  VIX  encompassing regression 
學科別分類 學科別社會科學商學
中文摘要 本文以台灣股價指數選擇權上市後之資料估計VIX(volatility index)指數波動性與30、60、90天期之無模型(Model-free)隱含波動性與Black-Scholes模型之價平隱含波動性等三種,來對台指選擇權之平均隱含波動性與台指選擇權標的物進行預測。預測模型我們使用包含式迴歸(emcompassing regression),並加入非同時期的預測變數來對台指選擇權標的物波動性與隱含波動性進行一天前的預測;最後,我們採樣本內與樣本外的預測誤差來比較使用何種波動性之預測能力較佳。
比較樣本內、外結果發現,單一變數預測模型以價平的B-S隱含波動性與VIX波動性指數預測較佳;雙變數模型則無一致結果;而以VIX指數波動性、60天期的Model-Free隱含波動性與60天期價平的B-S隱含波動性之三變數包含式迴歸預測能力最佳。且本文使用預測模型的變數皆為隱含波動性,實證發現模型對台指選擇權隱含波動性的預測效果優於對台指選擇權標的物的波動性預測。
英文摘要 This paper use the data of TXO to compute VIX(volatility index), 30-day, 60-day, and 90-day Model-Free implied volatility and at-the-money Black–Scholes (B–S) implied volatility, forecasting the average implied volatility and underlying of TXO. In addition, we employ encompassing regressions and use asynchronous predictive variables to forecast the volatility and implied volatility of the underlying of TXO. Furthermore, we use both in-the-sample and out-of-the-sample forecasting error to compare the predictive performance.
The empirical shows that for single variable forecasting model ,at-the-money B-S implied volatility and VIX are preferred, for multi variable forecasting model ,there is no consistent conclusion, but the volatility of VIX、60 day Model-Free implied volatility and at-the-money B-S implied volatility seem to dominate. Besides, we use implied volatility as the variable of forecasting models, and we find that forecasting models predict the volatility of TXO perform better than the volatility of the underlying of TXO.
論文目次 中文摘要.........................................................................................................................I
英文摘要.......................................................................................................................II
目錄..............................................................................................................................III
表目錄...........................................................................................................................V
圖目錄..........................................................................................................................VI
第壹章 緒論 ..............................................................................................................1
第一節 研究背景與動機........................................................................................1
第二節 研究目的....................................................................................................3
第三節 研究架構....................................................................................................5
第貳章 文獻探討........................................................................................................6
第一節 波動性的預測能力與內涵訊息................................................................6
第二節 VIX波動性指數與無模型隱含波動性相關文獻..................................11
第三節 預測模型之相關文獻..............................................................................14
第叁章 波動性估計模型..........................................................................................18
第一節 VIX波動性指數......................................................................................18
第二節 無模型隱含性動性..................................................................................19
第三節 隱含波動性模型......................................................................................23
第肆章 研究方法......................................................................................................26
第一節 研究資料來源及選取..............................................................................26
第二節 波動性之估計..........................................................................................27
第三節 預測模型..................................................................................................31
第四節 波動性預測能力之衡量指標..................................................................36
第伍章 實證結果與分析..........................................................................................39
第一節 樣本統計..................................................................................................39
第二節 迴歸預測模型分析..................................................................................45
第三節 樣本內與樣本外的預測結果..................................................................59
第陸章 結論與建議..................................................................................................64
參考文獻......................................................................................................................67
附錄..............................................................................................................................71
表目錄
表5.1.1 相依變數樣本之敘述統計.........................................................................40
表5.1.2 真實波動性年度敘述統計.........................................................................41
表5.1.3 買權隱含波動性依價性分類之敘述統計量.............................................42
表5.1.4 賣權隱含波動性依價性分類之敘述統計量.............................................43
表5.1.5 各模型波動性之敘述統計.........................................................................44
表5.2.1 落階一期預測真實波動性9分鐘之單變數迴歸與包含迴歸............... 51
表5.2.2 落階一期預測真實波動性15分鐘之單變數迴歸與包含迴歸............. 52
表5.2.3 落階一期預測B-S隱含波動性之單變數迴歸與包含迴歸................... 53
表5.2.4 落階一期預測買權B-S隱含波動性之單變數迴歸與包含迴歸........... 54
表5.2.5 落階1、5、20期平均預測真實波動性9分鐘之
單變數迴歸與包含迴歸............................................................................55
表5.2.6 落階1、5、20期平均預測真實波動性15分鐘之
單變數迴歸與包含迴歸............................................................................56
表5.2.7 落階1、5、20期平均預測B-S隱含性動度之
單變數迴歸與包含迴歸............................................................................57
表5.2.8 落階1、5、20期平均預測買權B-S隱含波動性之
單變數迴歸與包含迴歸............................................................................58
表5.3.1 預測真實波動性樣本內外檢測結果.........................................................62
表5.3.2 預測B-S隱含波動性樣本內外檢測結果.................................................63
圖目錄
圖4.2.1 不同頻率的真實波動性走勢圖.................................................................32
圖5.1.1 真實波動性與台灣股價指數.....................................................................41


參考文獻 中文部分
1. 黃雯卿,2007,「無模型設定隱含波動度之實證研究-以台灣股價指數選擇權為例」,國立東華大學國際經濟研究所碩士論文。
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