臺指選擇權隱含波動度預測能力之實證分析

An Empirical Analysis of the Forecasting Performance of Implied Volatility on TAIEX Options

呂美儀(Mei-Yi Lu)

指導教授 ： 謝文良

淡江大學/商學院/財務金融學系碩士班/碩士(2007年)

https://doi.org/10.6846/TKU.2007.00346

摘要

CBOE於2003年提出以model-free隱含波動度計算之新制波動度指標VIX，其簡單且不需要選擇權評價模型之特性，隨即受到市場之注意，廣泛應用於金融市場之波動度預測。臺灣期貨交易所自2001年12月19日推出臺指選擇權以來，亦已在2007年3月1日引用CBOE之波動度指數編製方法，提供投資人作為市況之參考。為了探討臺指選擇權市場對於真實波動度之預測能力，本文以BS隱含波動度與model-free隱含波動度作為波動度之預測指標，並且高頻資料估計真實波動度與歷史波動度，分析隱含波動度與歷史波動度對於預測真實波動度之能力。
實證結果發現，樣本期間之隱含波動度普遍對於各預測期間真實波動度之預測效果優於歷史波動度，但可能由於潛在的選擇權期限結構影響近月隱含波動度之預測能力。引入歷史波動度亦可提升其解釋能力，因此，在波動度之預測上，除了參考選擇權隱含波動度外，仍不可忽視歷史資訊之解釋能力。另外，實證結果亦支持報酬率與隱含波動度變動量具有負向關係，隱含波動度可視為投資者恐慌指標。

關鍵字

指數選擇權 ； 隱含波動度

並列摘要

In 2003, Chicago Board Option Exchange (CBOE) introduced the new volatility index VIX based on model free implied volatility. The VIX was soon noticed by the markets and widely applied in volatility forecasting because of its simplicity of demanding no pricing model. Since the inception of the TAIEX option on December 19 2001, the TAIFEX has utilized the CBOE’s volatility index as an indicator of the market trend for the investor from Mar 1 2007. This article assesses the ability of the TAIEX option in predicting the realized volatility applying Black-Scholes implied volatility and model-free implied volatility as the forecasts and estimating the realized volatility and historical volatility using high-frequency data.
The empirical evidence reveals that in the sampling period, the implied volatility is generally better than historical volatility in terms of the effectiveness of prediction in each forecasting period. Implied volatilities of the near-by options, perhaps affected by the potential term-structure, show weaker forecasting ability than the deferred options. Including historical volatility enhances the volatility prediction, suggesting that the explanatory power of historical information is indispensable. Furthermore, the variation of implied volatility is negatively correlated to the return rate, supporting that the implied volatility could be regarded as an “investor fear gauge”.

並列關鍵字

Index Options ； Implied Volatility

參考文獻

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