台指選擇權隱含波動度之資訊含量

The information content of option implied volatility surrounding the Taiwan Stock Market

陳玉菁(Yung-Ching Chen)

指導教授 ： 邱忠榮

共同指導教授 ： 林允永(Yun-Yung Lin)

淡江大學/商學院/財務金融學系碩士班/碩士(2008年)

https://doi.org/10.6846/TKU.2008.00195

摘要

Britten-Jones and Neuberger(2000)在擴散假設下，推導出無模型設定隱含波動
度(model free implied volatility)，Jiang and Tian(2005)將無模型設定的隱含波動度
擴展至資產價格服從跳躍-擴散過程(diffusions and jumps process)之假設，本文依
據Jiang and Tian(2005)，算出買權和賣權的無模型設定隱含波動度，並和Black and
Scholes隱含波動度、落階一期已實現波動度、選擇權未平倉量、選擇權日交易
量等變數作迴歸分析，檢視無模型設定隱含波動度是否為眾多變數中對實際波動
度包含最多的資訊，且為預測實際波動度的最佳指標。此外再依照以Joseph
K.W.Fung(2007)信號模型，檢驗無模型設定隱含波動度是否能在市場發生異常波
動前，為一良好之警示信號。
實證結果如下：
1. 在單變量迴歸中，買權無模型設定隱含波動度確實為所有變數中，對實際波動度的解釋能力最高，包含最多的資訊；在包含迴歸中，比起其它波動度預測指標，買權無模型設定隱含波動度較可以統合其它變數之資訊，大致能包含Black and Scholes隱含波動度、選擇權未平倉量、選擇權日交易量變數的資訊。
2. 將樣本外預測之結果應用於Joseph K.W.Fung(2007)信號模型，發現在2007年10月18日市場真實波動度為31.97%，信號在同年9月時已經超過1，因為本文僅檢視2007年台股受房貸衝擊之影響，鑑於樣本數略嫌不足之餘，因此實證結果僅能指出買權無模型設定隱含波動度於JosephK.W.Fung
(2007)信號模型下，可能為一良好之及早警示信號。

關鍵字

無模型設定隱含波動度 ； 選擇權未平倉量 ； 選擇權成交量

並列摘要

Britten-Jones and Neuberger(2000) derived the model-free implied volatility
under the assumption that the price of underlying asset follows diffusion process. Jiang and Tian(2005) further extend the model-free implied volatility to asset price process with jumps. This thesis examines the forecasting ability and information content of the model-free implied volatility of call, model-free implied volatility of put, Black and Scholes implied volatility, the lagged realized volatility, option interest of TXO and volume of TXO. According to the signal model of Joseph K.W. Fung(2007),this thesis also examines whether the model-free implied volatility could have been an useful warning signal prior to periods of the abnormal volatility.
The empirical results show as follows：
1. Based on an univariate regression, the Adj for the model-free implied volatility of call is higher than other potential indicators of realized volatility. The model-free implied volatility of call contains more information than other potential indicators. The encompassing regression results show that the model-free implied volatility of call subsumes all information contained in the most potential indicators of future realized volatility.
2. Because it seems that numbers of the samples are not enough. Under the signal
model of Joseph K.W.Fung(2007),the model-free implied volatility of call may be
an useful warning signal prior to periods of the abnormal volatility.

並列關鍵字

model free implied volatility ； open interest ； volume

參考文獻

1. 呂美儀 (2007)，「臺指選擇權隱含波動度預測能力之實證分析」，淡江大學財務金融學系碩士班碩士論文。

6. 許美滿 (2007)，「衍生性市場創新、交易機制與隱含波動」，淡江大學財務金融學系博士班博士論文。

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