Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/23324
標題: The Relationship of Realized Volatility, Implied Volatility and Long Memory : Evidence from S&P 100 Stock Option Market
以S&;P100個股選擇權市場探討實現波動度、隱含波動度與緩長記憶關係之研究
作者: Hong, Pei-Syun
洪培勛
關鍵字: 緩長記憶
long memory
部份共整合
隱含波動度
實現波動度
fractional cointegration
implied volatility
realized volatility
出版社: 財務金融系所
摘要: We argue that the predictive regression between implied volatility and realized volatility is likely to be a fractional cointegration relation. Then we use narrow band spectral least squares methods of semiparametric frequency domain analysis to estimate the relation between implied volatility and realized volatility. We find that Size, Beta and Option Volume have a positive relation with the slope estimators in the regression between the implied volatility and the realized volatility. As Size, Beta and Option Volume increase, the sensitivity of the implied volatility to the realized volatility would increase. In addition, Beta and Option Volume have a positive relation with the absolute value of intercept estimators. When Beta and Option Volume higher represent the risk bigger, the market investors will tend to pay a higher volatility risk premium to avoid risk. Cause the phenomenon that when Beta and Option Volume increase, the absolute value of intercept estimators will be higher. However, we consider that the implied volatility is an unbiased predictor of the realized volatility in this paper.
我們認為在隱含波動度和實現波動度常見的預測迴歸之中可能存在一個部份共整合的關係,而我們利用半參數頻域(semiparametric frequency domain)分析之NBLS方法來估計隱含波動度與實現波動度之關係,且加入公司特性探討是否會對隱含波動度與實現波動度之間的關係造成影響。我們發現公司規模(Size)、Beta、選擇權交易量(Option Volume)在隱含波動度和實現波動度的迴歸關係中與斜率估計值 (β &;#770;) 皆有正向的關係,隨著公司規模(Size)、Beta、選擇權交易量(Option Volume)越大,隱含波動度對實現波動度的敏感度也越高。此外,Beta、選擇權交易量(Option Volume)則與截距項估計值 (α &;#770;) 的絕對值有正向的關係,當Beta、選擇權交易量(Option Volume)越高的時候代表此時風險越大,市場投資人會傾向付出一筆較大的波動度風險貼水來規避風險,造成Beta、選擇權交易量(Option Volume)越高時,截距項估計值 (α &;#770;) 的絕對值也越高的現象。然而在本文中我們認為隱含波動度為實現波動度的一個不偏估計值。
URI: http://hdl.handle.net/11455/23324
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