流動性調整的波動率指數之預測效果

The Forecasting Performance of Liquidity-Adjusted Volatility Index

謝昀峰(Yun-Feng Hsieh)

指導教授 ： 郭震坤

國立臺灣大學/管理學院/國際企業學研究所/碩士(2013年)

https://doi.org/10.6342/NTU.2013.10068

摘要

相同標的資產，但不同月份與不同履約價格的選擇權契約同時交易，其間流動性所產生的交互作用，對於選擇權市場的價格波動有顯著的影響。低流動性的契約可能無法充分反映市場價格資訊，而高流動性選擇權則較能充分反映。因此根據這些價格所計算出的隱含波動性(Implied Volatility, IV）將受到許多雜訊干擾。

本研究基於Grover and Thomas (2012)的研究論點，採用加權法估計IV指數，做為預測期貨市場波動性的參考指標，以降低高流動性選擇權對IV的影響。本研究測度兩種流動性加權指標: SVIX和TVVIX之表現，其中SVIX是價差調整後的擴頻波動指數(Spread-Adjusted Volatility Index )；TVVIX則是一個交易量加權指數(Trade Volume Adjusted Volatility Index)，以VIX為加權依據。

實證結果發現，兩種流動性加權波動指數在台股期貨(TX)波動度的預測表現，TVVIX優於SVIX。

關鍵字

隱含波動率 ； 加權指標 ； 台股期貨

並列摘要

Options with same underlying asset, but different maturity months and strike prices trade simultaneously. It is conceivable that different liquidity among these options will have significant impact on option valuation. Low liquidity options may not be able to reflect market information fully, as high liquidity options do. As a result, the Implied Volatility (IV) calculated from these option prices will be full of noises.

This study compares the performance of two liquidity weighted index: SVIX & TVVIX, where SVIX is an adjusted spread spectrum (spread-adjusted) volatility Index, and TVVIX is a trading volume index weighted by VIX. We use the weighted IV index as reference in forecasting futures market volatility to reduce noises of the high liquidity option IV, as suggested by Grover and Thomas (2012).

The empirical results show that TVVIX has better performance than SVIX in forecasting TX volatility.

並列關鍵字

implied volatility ； weighted index ； TX

參考文獻

[1] Ait-Sahalia, Y. & A.W. Lo (1998), “Nonparametric Estimation of State-price

[2] Andersen, T. G., T. Bollerslev, F. X. Diebold & P. Labys (2001), “The distribution of realized exchange rate volatility.” Journal of the American Statistical Association, 96, 42–55.

[3] Becker, S. (1981), “Standard Deviations Implied in Option Prices as Predictors of

[4] Becker, R., A. E. Clements & S. I. White (2007). “Does implied volatility provide any information beyond that captured in model-based volatility forecasts? “ Journal of Banking and Finance, 31, 2535–2549.

[5] Becker, R., A. E. Clements & S. I. White (2008). “Are combination forecasts of S&P 500 volatility statistically superior? “ International Journal of Forecasting, 24, 122–133.