政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/115781

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/115781

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 113318/144297 (79%)
Visitors : 51093594 Online Users : 793

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Scope

please add "double quotation mark" for query phrases to get precise results

please goto advance search for comprehansive author search

Adv. Search

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

Goto mobile version

政大典藏 > College of Commerce > Department of Money and Banking > Theses > Item 140.119/115781

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/115781

Title:	在金融海嘯前中後波動度與跳躍風險在現貨市場與選擇權市場之研究 The implication of volatility and jump risks from spot and option markets before, during and after the recent financial crisis
Authors:	鍾長恕 Chung, Chang-Shu
Contributors:	林士貴 Lin, Shih-Kuei 鍾長恕 Chung, Chang-Shu
Keywords:	隨機波動度跳躍風險風險溢酬粒子濾波演算法共同估計 Stochastic volatility Jump risk Risk premiums Particle-Filtering algorithm Joint estimation
Date:	2018
Issue Date:	2018-02-02 16:42:02 (UTC+8)
Abstract:	本文利用隨機波動度模型配合不同的跳躍動態配適S&P500 指數報酬率的變動過程，並試圖解決三個實證問題。第一個問題，平均而言，隨機波動度和報酬率跳躍分別佔了S&P500 指數總報酬率的變異多少比例？而那一個風險對總報酬率的變化影響程度較大？第二個問題，在現貨市場和選擇權市場上，無限跳躍模型的配適程度是否優於有限跳躍模型？第三個問題，投資者在什麼時候會要求較高的風險溢酬？波動度的風險溢酬和跳躍的風險溢酬在金融風暴的前、中、後期或是否會有顯著的變化？對於第一個問題，我們發現絕大部分的報酬率變異都是由隨機波動度所造成的，只有在金融危機爆發初期，跳躍風險造成的報酬率變異才會高於波動度的影響。針對第二個問題，我們採用粒子濾波演算法和期望值最大化演算法，配合動態共同估計，發現「具有雙指數跳躍搭配波動度相關跳躍的隨機波動度模型」和「具有常態逆高斯分佈跳躍過程的隨機波動率模型」對於S&P500 指數報酬率與選擇權有良好的配適能力。最後，對於第三個問題，我們透過風險溢酬時間序列觀察到金融危機爆發後，波動度和跳躍風險溢酬都有大幅增加的趨勢，也就是金融危機之後的平穩期，投資人更容易因為恐慌造成會要求更高的風險溢酬。 In this paper, we attempt to answer three questions: (i) On average, what does the proportion of the stochastic volatility and return jumps account for the total return variations in S&P500 index, respectively? In particular, which one has more influence than the other does on the total return variations? (ii) Is the fitting performance of infinite-activity jump models better than that of finite-activity jump models both in the spot and option markets? (iii) When will investors require significantly higher risk premiums? Specifically, were there significant changes in volatility risk premiums and in jump risk premiums before, during or after the financial crisis? For the first question, we find that most of the return variations are explained by the stochastic volatility. In fact, the return jump accounts for the higher percentage than the stochastic volatility at the beginning of financial crisis. To answer the second question, we adopt the expectation-maximization algorithm with the particle filtering algorithm and dynamic joint estimation to obtain the stochastic volatility model with double-exponential jumps and correlated jumps in volatility (SV-DEJ-VCJ) and the stochastic volatility model with normal inverse Gaussian jumps (SV-NIG) fit S&P500 index returns and options well in different criterions, respectively. Finally, for the third question, we observe that both the volatility and jump risk premiums significantly increase after the financial crisis periods, that is, the panic in the post-crisis period causes more expected returns.
Reference:	[1] Andersen, T., L. Benzoni, and J. Lund. 2002, "An Empirical Investigation of Continuous-Time Equity Return Models," The Journal of Finance, Vol. 57, 1239- 1284. [2] Bates, D. S., 2001, "Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options," Review of Financial Studies, Vol. 9, 69-107. [3] Bakshi, G., C. Cao, and Z. W. Chen. 1997, "Empirical Performance of Alternative Option Pricing Models", Journal of Finance, Vol. 52, 2003-2049. [4] Barndorff-Nielsen, O.E. 1997, "Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling", Journal of Statistics, Vol. 24, 1-13. [5] Barndorff-Nielsen, O.E. 1998, "Processes of Normal Inverse Gaussian Type", Finance And Stochastics, Vol. 2, 41-68. [6] Black, F., Scholes, M., 1973, "The pricing of options and corporate liabilities", Journal of Political Economy, Vol. 81, 637-654. [7] Bakshi, G., Cao, C., Chen, Z. W., 1997, "Empirical performance of alternative option pricing models", Journal of Finance, Vol. 52, 2003-2049. [8] Broadie, M., Chernov, M., Johannes, M., 2007, "Model specification and risk premia: Evidence from futures options", Journal of Finance, Vol. 62, 1453-1490. [9] Bakshi, G., Wu, L., 2010, "The behavior of risk and market prices of risk over the Nasdaq bubble period", Management Science, Vol. 56, 2251-2264. [10] Cox, J.C., J.E. Ingersoll, and S.A. Ross., 1985, "A Theory of the Term Structure of Interest Rates", Econometrica, Vol. 53, 385-408. [11] Carr, P., and D. Madan., 1998, "Option Valuation Using the Fast Fourier Transform", Journal of Computational Finance, Vol. 2, 61{73. [12] Carr, P., Geman, H., Madan, D., Yor, M., 2002, "The fine structure of asset returns: an empirical investigation", Journal of Business, Vol. 75, 305-332. [13] Christoffersen, P., Jacobs, K., Mimouni, K., 2010, "Volatility dynamics for the S&P500: Evidence from realized volatility, daily returns, and option prices", Re- view of Financial Studies, Vol. 23, 3141-3189. [14] Chernov, M., Ghysels, E., 2000, "A study towards a uniifed approach to the joint estimation of objective and risk-neutral measures for the purpose of option valuation", Journal of Financial Economics, Vol. 56, 407-458. [15] Cartea, A., Figueroa, M. G., 2005, "Pricing in electricity markets: A mean reverting jump diffusion model with seasonality", Applied Mathematical Finance, Vol. 12, 313- 335. [16] Chevallier, J., Ielpo, F., 2013, "Twenty years of jumps in commodity markets", International Review of Applied Economics, Vol. 28, 64-82. [17] Diebold, F., Mariano, R., 1995, "Comparing Predictive Accuracy", Journal of Busi- ness & Economic Statistics, Vol. 13, 134-144. [18] Duffie, D., Pan, J., Singleton, K., 2000, "Transform analysis and asset pricing for affine jump-diffusions", Econometrica, Vol. 68, 1343-1376. [19] Daskalakis, G., Psychoyios, D., Markellos, R. N., 2009, "Modeling CO2 emission allowance prices and derivatives: Evidence from the European trading scheme", Journal of Banking & Finance, Vol. 33, 1230-1241. [20] Diewald, L., Prokopczuk, M., Wese Simen, C., 2015, "Time-variations in commodity price jumps", Journal of Empirical Finance, Vol. 31, 72-84. [21] Eraker B, Johannes M, Polson N, 2003, "The impact of jumps in volatility and returns", The Journal of Finance, Vol. 58, 1269-1300. [22] Eraker, B., 2004, "Do stock prices and volatility jump? Reconciling evidence from spot and option prices", Journal of Finance, Vol. 59, 1367-1404. [23] EGodsill, S. J., A. Doucet , M. West, 2004, "Monte Carlo Smoothing for Nonlinear Time Series", Journal of the American Statistical Association, Vol. 99, 156-168. [24] Gerber, H. U., Shiu, Elias S. W, 1994, "Option pricing by Esscher transforms", Transactions of the Society of Actuaries, Vol. 46, 99{191. [25] Hu, F., Zidek, J.V, 2002, "The weighted likelihood", Canadian Journal of Statistics, Vol. 30, 347{371. [26] Harvey, D., Leybourne, S., and Newbold, P, 1997, "Testing the equality of prediction mean squared errors", International Journal of Forecasting, Vol. 13, 281-291. [27] Heston, S. L., Nandi, S., 2000, "A closed-form GARCH option valuation model", Review of Financial Studies, Vol. 13, 585-625. [28] Heston, S. L, 1993, "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options". Review of Financial Studies, Vol. 6, 327-343. [29] Hull, J., White, A., 1987, "The pricing of options on assets with stochastic volatilities", Journal of Finance, Vol. 42, 281-300. [30] Hull, J, C., 2014, "Options, futures, and other derivatives", Prentice Hall, 9th edition. [31] Hsu, C. C., Lin, S. K., Chen, T. F., 2014, "Pricing and hedging European energy derivatives: A case study of WTI crude oil options", Asia-Pacific Journal of Finan- cial Studies, Vol. 43, 317-355. [32] Huang, J. Z., Wu, Z., 2004, "Specification analysis of option pricing models based on time-changed Levy processes", Journal of Finance, Vol. 59, 1405-1439. [33] Hilliard, J. E., Reis, J. A., 1999, "Jump processes in commodity futures prices and options pricing", American Journal of Agricultural Economics, Vol. 81, 273-286. [34] Johannes, M. S., Polson, N. G., Stroud, J. R., 2009, "Optimal filtering of jump diffusions: Extracting latent states from asset prices", Review of Financial Studies, Vol. 22, 2759-2799. [35] Kou S, 2002, "A Jump-Diffusion Model for Option Pricing". Management Science, Vol. 48, 1086-1101. [36] Kou S, Yu, Zhong, 2016, "Jumps in Equity Index Returns Before and During the Recent Financial Crisis: A Bayesian Analysis", Management Science, Vol. 4, 988- 1010. [37] Kaeck A., Alexander, C., 2013, "Stochastic volatility jump-diffusions for European equity index dynamics", European Financial Management, Vol. 19, 470-496. [38] Koekebakker, S., Lien, G., 2004, "Volatility and price jumps in agricultural futures prices-evidence from wheat options", American Journal of Agricultural Economics, Vol. 86, 1018-1031. [39] Li H, Wells M, Yu C, 2008, "A Bayesian Analysis of Return Dynamics with Levy Jumps", The Review of Financial Studies, Vol. 21, 2345-2378. [40] Li H, Wells M, Yu C, 2011, "MCMC estimation of Levy jump models using stock and option prices", Mathematical Finance, Vol. 21, 383-422. [41] Merton, R. C, 1976, "Option Pricing with Underlying Stock Returns are Discontinuous", Journal of Financial Economics, Vol. 3, 124-144. [42] Madan, D., P. Carr, and E. Chang, 1998, "The Variance Gamma Process and Option Pricing", European Finance Review, Vol. 2, 79{105. [43] Madan, D.B., Seneta, E, 1990, "The Variance Gamma (V.G.) Model for Share Market Returns", The Journal of Business, Vol. 63, 511-24. [44] Matsuda, K., 2004, "Introduction to Merton jump diffusion model", Department of Economics. The Graduate Center, The City University of New York. [45] Mayer, K., Schmid, T., Weber, F., 2015, "Modeling electricity spot prices: Combining mean reversion, spikes, and stochastic volatility", European Journal of Finance, Vol. 21, 292-315. [46] Pan, J., 2002, "The jump-risk premia implicit in options: evidence from an integrated time-series study", Journal of Financial Economics, Vol. 63, 3-50. [47] Ramezani, C. A., Zeng, Y., 2002, "Maximum likelihood estimation of asymmetric jump-diffusion process: Application to security prices", Working paper. [48] Nakajima, K., Ohashi, K., 2012, "A cointegrated commodity pricing model", Journal of Futures Markets, Vol. 32, 995-1033. [49] Ornthanalai, C., 2014, "Levy Jump Risk: Evidence from Options and Returns", Journal of Financial Economics, Vol. 112, 69-90. [50] Stein, C., 1956, "Inadmissibility of the Usual Estimator for the Mean of a Multivariate Normal Distribution", Proceedings of the Third Berkeley Symposium on Mathematical Statistics and Probability, Vol. 1, 197-206. [51] Schmitz, A., Wang, Z., Kimn, J. H., 2014, "A jump diffusion model for agricultural commodities with Bayesian analysis", Journal of Futures Market, Vol. 34, 235-260. [52] Wilmot, N. A., Mason, C. F., 2013, "Jump processes in the market for crude oil", The Energy Journal, Vol. 34, 33-48. [53] Xiao, Y., Colwell, D. B., Bhar, R., 2015, "Risk premium in electricity prices: Evidence from the PJM market", Journal of Futures Markets, Vol. 35, 776-793.
Description:	碩士國立政治大學金融學系 104352033
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0104352033
Data Type:	thesis
Appears in Collections:	[Department of Money and Banking] Theses

Files in This Item:

File	Size	Format
203301.pdf	16271Kb	Adobe PDF2	112	View/Open

All items in 政大典藏 are protected by copyright, with all rights reserved.

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

DSpace Software Copyright © 2002-2004 MIT & Hewlett-Packard / Enhanced by NTU Library IR team Copyright © - Feedback