本文關鍵詞：波動率預測模型與比較　出處：《上海交通大學》2013年碩士論文　論文類型：學位論文

  更多相關文章： 波動率 預測 GARCH模型 隱含波動率

【摘要】：本文選擇香港市場恒生指數(shù)作為分析標的，旨在比較三種常見的波動率預測模型,GARCH簇模型，BS隱含波動率以及無模型隱含波動率,關于不同長度的時間范圍內的波動率的預測能力。 隱含波動率與GARCH簇模型相比，，對較長時間范圍內的波動率表現(xiàn)出更強的預測精度，尤其是BS隱含波動率，隨著預測期限的延展甚至比GARCH模型預測能力更好。由于隱含波動率是基于投資者的市場預期得到，這反映了投資者對較長時間期限內的波動率預測能力較強。另外，無模型隱含波動率的預測精度與市場交易的集中度相關，如果市場集中在平價期權上進行交易，實值和虛值期權會因交易量不足而定價效率不高，以至于無模型隱含波動率的預測能力不強。除此之外，各模型的信息含量也被加以考察，結果表明三者表現(xiàn)出來的信息互有交疊，但是并沒有完全覆蓋。 與前人研究結果的對比表明，香港市場平價期權的定價效率較高，但實值和虛值期權的定價效率取決于市場交易集中度。
[Abstract]:In this paper, the Hang Seng Index of Hong Kong market is chosen as the object of analysis. The purpose of this paper is to compare the implied volatility of the GARCH cluster model with the implied volatility of the GARCH cluster model and the implicit volatility without the model. The ability to predict volatility over time ranges of different lengths. Compared with the GARCH cluster model, the implied volatility shows a stronger prediction accuracy for a long time range, especially for the BS implicit volatility. With the extension of the forecast period, the forecasting ability is even better than the GARCH model, because the implied volatility is based on investors' market expectations. This reflects the strong ability of investors to predict volatility over a longer period of time. In addition, the prediction accuracy of unmodeled implied volatility is related to the concentration of market transactions. If the market focuses on parity options, the real value option and virtual value option will be priced inefficiently because of insufficient trading volume, so that the ability to predict the implied volatility without model is not strong. The information content of each model is also investigated. The results show that the information presented by the three models overlaps with each other, but it is not completely covered. The comparison with previous studies shows that the pricing efficiency of parity options in Hong Kong is high, but the pricing efficiency of real and virtual options depends on the concentration of market transactions.
【學位授予單位】：上海交通大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51;F224

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相關期刊論文 前3條

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