English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 112721/143689 (78%)
Visitors : 49592975      Online Users : 411
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU 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://nccur.lib.nccu.edu.tw/handle/140.119/63820


    Title: 動態隱含波動度模型：以臺指選擇權為例
    Other Titles: Dynamic Implied Volatility Functions in Taiwan Options Market
    Authors: 郭維裕;陳威光;陳鴻隆;林信助
    Kuo,Wei-Yu;Chen,Wei-Kuang;Chen,Hung-Lung;Lin,Shinn-Juh
    Contributors: 國貿系
    Keywords: 隱含波動度;波動度函數;不對稱 GARCH;波動度預測;delta 避險
    implied volatility;volatility function;asymmetric GARCH;volatility forecasting;delta-hedged
    Date: 2009-11
    Issue Date: 2014-02-13 11:15:16 (UTC+8)
    Abstract: 本文提出一動態隱含波動度函數模型，以改善一般隱含波動度函數缺乏時間序列訊息且無法動態配適資料的缺點。本文以統計檢定方法及交易策略之獲利能力檢定模型的預測能力是否具有統計及經濟上的顯著性。以台指選擇權之隱含波動度為標的，和幾個常用的波動度模型比較後的實證結果發現，本文提出的隱含波動度函數模型具備較佳的樣本內資料配適能力；對於樣本外隱含波動度及選擇權價格的預測能力亦優於其他波動度函數模型。關於經濟上的顯著性，在不考慮交易成本下，本文提出的模型相較於其他模型具有顯著的獲利能力；當我們考慮交易成本後，所有的模型皆無法獲得超額報酬。本文提出的模型在考量非同步交易問題後，結論仍舊不變。
    This paper proposes a new implied volatility function to facilitate implied volatility forecasting and option pricing. This function specifically takes the time variation in the option implied volatility into account. Our model considers the time-variant part and fits it with an asymmetric GARCH(1,1) model, so that our model contains the information in the returns of spot asset. According to our empirical results, our model substantially improves the forecasting ability and reduces the out-of-sample valuation errors in comparison with previous implied volatility functions. We conjecture that such good performance may be due to the ability of the GARCH model to simultaneously capture the correlation of volatility with spot returns and the path dependence in volatility. To test the economic significance of our model, we examine the profitability of the delta-hedged trading strategy based on various volatility models. We find that although these strategies are able to generate profits without transaction costs, heir profits disappear quickly when the transaction costs are taken into consideration.
    Relation: 期貨與選擇權學刊, 2(2), 47-89
    Data Type: article
    Appears in Collections:[國際經營與貿易學系 ] 期刊論文

    Files in This Item:

    File Description SizeFormat
    4789.pdf1052KbAdobe PDF21291View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback