價格與波動度風險貼水對S&P 500報酬相對貢獻性

Relative Contributions of Price and Volatility Risk Premiums to S&P 500 Index Returns

林月能(Yueh-Neng Lin)

《財務金融學刊》 14卷4期 (2006/12) Pp. 111-142

https://doi.org/10.6545/JFS.2006.14(4).4

摘要

鑑於S&P 500股價指數報酬較常態來得高峰、厚尾且具有波動叢聚性與波動不對稱現象，本文將波動度視為狀態空間變數且與資產報酬具相關性，並假設波動度風險貼水存在，以卡爾曼濾嘴（Kalman filter）及準最大概似法（quasi-maximum likelihood）建構隨機波動模型並求出價格與波動度風險貼水。實證結果發現波動度風險貼水對報酬率有正向影響，且越報酬持有期間的加長而增加，因此對長期報酬的相對貢獻度較大。此外，隨機波動模型估得的價格與波動度風險貼水對測試期間平均報酬具有資訊內涵，說明隨機波動對提供風險貼水正確衡量有顯著的重要性。

關鍵字

波動度風險貼水 ； 隨機波動 ； 卡爾曼濾嘴 ； 準最大概似法

並列摘要

As evinced of empirical characteristics of leptokurtosis, skewness, volatility clustering and asymmetric volatility shocks in SP 500 index returns, this study proposes a stochastic volatility process allowing for time-varying correlation with underlying returns, in which the market price of volatility risk is incorporated. A quasi-maximum likelihood function accompanied with Kalman filter is used ot estimate estimates model parameters and the market price of volatility risk. The volatility risk premium is found to be positive and increases with investment horizons. Compared to the price risk premium, however, the relative contribution of the volatility risk premium is most pronounced for long-term SP 500 returns. The premiums for price and volatility risks provided by the stochastic-volatility model are found informative for out-of-sample realized mean returns, indicating the importance of stochastic volatility.

並列關鍵字

volatility risk premium ； stochastic volatility ； Kalman filter ； quasi-maximum likelihood estimation