美國波動度指數與期貨長短期波動不對稱之研究

本研究期間以2004年3月26日至2011年4月30日之波動度指數現貨與期貨為研究對象，探討兩者間是否具有共整合關係與領先落後的關係，並透過不對稱Component GARCH模型來分析兩者之長短期波動是否存在槓桿效果。實證結果發現經由Johansen共整合檢定波動度指數現貨與期貨間顯示有長期穩定的共整合關係。此外，本研究發現波動度指數現貨領先波動度指數期貨與長期效果大於短期效果。從模型發現加入不對稱可得知波動度指數現貨存在槓桿效果，且具有更好的解釋能力。再者，加入誤差修正項不對稱Component GARCH模型具有更好的解釋能力，並發現加入誤差修正項之不對稱Component GARCH模型為最準確預測波動度指數現貨與期貨之模型。其實證結論給予投資人未來在投資策略上有更大的助益及參考價值。

關鍵字

波動度指數期貨； Component GARCH模型；不對稱Component GARCH模型；長短期波動；共整合；領先落後

並列摘要

This study examines the cointegration and lead-lag relationships between VIX and VIX futures from March 26, 2004 to April 30, 2010. The empirical result show the leverage effect in VIX and VIX futures using the asymmetric component GARCH model, and the long-run relationship between VIX and VIX futures by employing the Johansen cointegration test. This study shows that the lead-lag relationship from VIX to VIX futures and the long-run effect have more power than the short-run effect, and the asymmetric component GARCH model has more power than the component GARCH model for the VIX and VIX futures. Furthermore, the asymmetric component GARCH model with the error correction term has more explanatory power than the asymmetric component GARCH model in VIX and VIX futures. This finding is use for investors trading in VIX and VIX futures.

並列關鍵字

VIX futures ； Component GARCH Model ； Asymmetric Component GARCH Model ； Trend and Transitory Component Volatilities ； Cointegration ； Lead-Lag Relationship

參考文獻

http://www.cnki.com.cn/Article/CJFDTOTAL-XDBY201008051.htm

Google Scholar

http://www.worldcat.org/title/an-application-of-threshold-cointegration-to-taiwan-stock-index-futures-and-spot-markets/oclc/363047417&referer=brief_results