本研究以雙變量GARCH及向量自我迴歸模型(VAR Models),探討台灣現貨與選擇權市場股價報酬率波動的外溢效果。藉由此了解現貨市場與選擇權市場相互之間波動外溢的影響及是否具有波動性群聚與自我相關的市場特性。研究資料為日內資料以15分鐘為一區間。實證結果顯示現現貨市場對選擇權市場沒有顯著的波動外溢效果,但選擇權市場則對現貨市場有顯著的波動外溢效果。且現貨市場具有波動性群聚及自我相關的市場特性但買權及賣權市場並無波動性群聚與自我相關的市場特性。經VAR模型發現現貨市場與選擇權賣權市場互有雙向因果關係的現象即兩市場之間的波動性會互相影響。
This article examines the volatility spillovers between the Taiwan index stock and the index option based on GARCH model and VAR model. Meanwhile, by studying market-specific volatility clustering and autocorrelation between the market. The article uses 15-minutes intraday data. The empirical study finds the index index option market volatility-spillovers to the stock market but not vice versa. The market-specific volatility clustering and autocorrelation are positively significant in stock market. Finally, by employing the VAR model to find past innovations in one market can predict the future volatility in another market.