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題名:臺灣指數選擇權VIX最適預測模型--CARR模型之應用
書刊名:臺灣期貨與衍生性商品學刊
作者:杜玉振 引用關係梁竣剴
作者(外文):Tu, Yu-chenLiang, Chun-kai
出版日期:2011
卷期:13
頁次:頁36-61
主題關鍵詞:GARCH模型變幅CARR模型波動率指數臺灣指數選擇權GARCH modelRangeCARR modelVIXTXO
原始連結:連回原系統網址new window
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  • 點閱點閱:77
過去文獻大多專注於報酬的波動模型化,較少探討波動率本身的波動模型化,因此本研基礎的6ARCH模型來預測波動率,本研究採用Chou(2005)以變幅為基礎的CARR模型來建構波動模型。經實證發現:(1)CARR模型的樣本內配適能力與樣本外預測能力,均顯著優於GARCH模型(2)於CARR模型中加入成交量變動率為解釋變數能顯著增加波動模型的預測能力:而在本文所有預測模型中,以加入成交量變動率的A剛MAX(2,0,1)-CARR(1,2)模型之預測能力最佳:(3)價格變動率對訓X指數具有顯著負向影響,而成交量變動率對V1X指數具有顯著正向影響。
期刊論文
1.Blair, Bevan、Poon, Ser-Huang、Taylor, Stephen J.(2001)。Forecasting S&P 100 Volatility: The Incremental Information Content of Implied Volatilities and High-frequency Index Returns。Journal of Econometrics,105,5-26。  new window
2.Dotsis, G.、Psychoyios, D.、Skiadopoulos, G.(2007)。An empirical comparison of continuous-time models of implied volatility indices。Journal of Banking and Finance,31(12),3584-3603。  new window
3.McNess, S. S.(1979)。The Forecasting Record for the 1970's。New England Economic Review,1979(Sep./Oct.),33-53。  new window
4.Bollen, N.、Whaley, R.(2004)。Does net Buying Pressure Affect the Shape of Implied Volatility Functions?。Journal of Finance,59(2),711-753。  new window
5.Morgan, I. G.(1976)。Stock Prices and Heteroscedasticity。Journal of Business,49,496-508。  new window
6.Fleming, Jeff、Ostdiek, Barbara、Whaley, Robert E.(1995)。Predicting Stock Market Volatility: A New Measure。Journal of Futures Markets,15(3),265-302。  new window
7.Schwarz, Gideon(1978)。Estimating the Dimension of a model。The Annals of Statistics,6(2),461-464。  new window
8.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
9.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
10.Bollerslev, Tim、Wooldridge, Jeffrey M.(1992)。Quasi Maximum Likelihood Estimation and Inference in Dynamic Models with Time Varying Covariances。Econometric Reviews,11(2),143-172。  new window
11.Akaike, Hirotsugu(1974)。A new look at the statistical model identification。IEEE Transactions on Automatic Control,19(6),716-723。  new window
12.Chou, R. Y.(2005)。Forecasting financial volatilities with extreme values: the conditional autoregressive range (CARR) Model。Journal of Money, Credit and Banking,37(3),561-582。  new window
13.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
14.Parkinson, Michael(1980)。The extreme value method for estimating the variance of the rate of return。Journal of Business,53(1),61-65。  new window
15.Mandelbrot, Benoit B.(1963)。The Variation of Certain Speculative Prices。The Journal of Business,36(4),394-419。  new window
16.Bakshi, G.、Ju, N.、Ou-Yang, H.(2006)。Estimation of continuous-time models with an application to equity volatility dynamics。Journal of Financial Economics,82,227-249。  new window
17.Becker R.、Clements, A.、White, S.(2007)。Does implied volatility provide any information beyond that captured in model-based volatility forecasts?。Journal of Banking and Finance,31,2535-2549。  new window
18.Becker, R.、Clements, A.、McClelland, A.(2009)。The jump component of S&P 500 volatility and the VIX index。Journal of Banking and Finance,33,1033-1038。  new window
19.Chou, H.C.、Wang, D.(2007)。forecasting volatility on the U.K. stock market: a test of the conditional autoregressive range model。International Research Journal of Finance & Economics,10,7-13。  new window
20.Degiannakis, Stavros A.(2008)。Forecasting VIX。Journal of Money, Investment and Banking,4,5-19。  new window
21.Carr, P.、Wu, L.(2006)。A tale of two indices。Journal of Derivatives,13,4213-4229。  new window
22.Corrado, C.J.、Miller, T.W.(2005)。The forecast quality of CBOE implied volatility indexes。Journal of Futures Market,25,339-373。  new window
23.Lindberg, B.(1982)。International comparison of growth m demand for a new durable consumer product。Journal of Marketing Research,19,364-371。  new window
24.Mixon, S.(2002)。Factors explaining movements in the implied volatility surface。The Journal of Futures Markets,22,915-937。  new window
25.Whaley, R. E.(2009)。Understanding the VIX。Journal of Portfolio Management,3,98-105。  new window
研究報告
1.Ahoniemi, K.(2008)。Modeling and forecasting the VIX index。  new window
圖書
1.Theil, Henri(1966)。Applied Economic Forecasting。Amsterdam:North-Holland Publishing Co.。  new window
2.Lewis, C. D.(1982)。Industrial and Business Forecasting Methods: a practical guide to exponential smoothing and curve fitting。Southampton:London:The Camelot Press Ltd:Butterworth Scientific。  new window
3.Box, G. E. P.、Jenkins, G. M.、Reinsel, G. C.(1976)。Time Series Analysis: Forecasting and Control。San Francisco:Holden-Day。  new window
4.陳達新、周恆志(2010)。財務風險管理:工具衡量與未來發展。  延伸查詢new window
 
 
 
 
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