隱含波動率的非線性調整

Nonlinear Adjustment on Implied Volatility

林于暄(Yu-Hsuan Lin)

指導教授 ： 李瑞琳

朝陽科技大學/管理學院/財務金融系/碩士(2010年)

摘要

本文藉由Wu and Lee (2009) 所提出的SURKSS檢定和Sollis (2009) 所提出的AESTAR非線性單根檢定探討台灣指數選擇權隱含波動率的非線性調整。實證結果發現，台灣指數選擇權隱含波動率有內含均值回歸的過程，它意味著調整隱含波動率是均值回歸且有非對稱非線性方式。

關鍵字

SURKSS檢定 ； AESTAR非線性單根檢定 ； 均值回歸 ； 隱含波動率

並列摘要

This study applies panel SURKSS tests employed by Wu and Lee (2009) and a simple AESTAR nonlinear unit root proposed by Sollis (2009) to test the nonlinear adjustment on implied volatility for Taiwan index option (TXO). Results indicate that mean-reverting process for implied volatility holds for TXO, suggesting that adjustment toward implied volatility is mean-reverting and in an asymmetric nonlinear way.

並列關鍵字

Panel SURKSS ； implied volatility ； AESTAR nonlinear unit root test ； mean-reverting

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