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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/48969


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    題名: 波動自我復歸特性對股價指數選擇權評價重要嗎?
    Is Mean Reversion Feature of Volatility Important to Stock Index Option?
    作者: 湯亞蒨
    貢獻者: 杜化宇
    湯亞蒨
    關鍵詞: 台指選擇權
    條件波動度
    Regime-Switching
    Dispersion
    GRS-GARCH
    日期: 2009
    上傳時間: 2010-12-08 01:54:27 (UTC+8)
    摘要: 過去文獻在探究股市報酬率波動行為時，多採用GARCH/ARCH等傳統時間序列模型，但這些模型不能解決波動度的高持續性(persistence)。本文以Gray(1996)提出的一般化狀態轉換模型(GRS-GARCH)為基礎並加入Dueker(1997)所提出的Dispersion設定，建立GRS-GARCH-K以及GRS-GRACH-DF模型來預測股市報酬率波動行為。GRS-GARCH-K模型設定最大的優點是加入Student’s t分配之自由度可隨狀態轉換，使峰態亦可隨狀態轉換，另外GRS-GRACH-DF模型除了擁有GRS-GARCH-K的特性外，還擁有均數復歸的特色。本文以單一狀態下的GARCH-N、GARCH-t模型，以及雙狀態下的GRS-GARCH、GRS-GARCH-K以及GRS-GARCH-DF模型做研究，並以台灣股價加權股價指數為研究樣本，探討並預測股價日報酬率的波動度，最後將波動度代入Black-Scholes選擇權訂價模型，探討模型之其評價效果。
    研究顯示，在樣本內以AIC和SBC檢定法則下，GRS-GARCH-DF有最好的配適能力，樣本外的預測能力在MAE、MASE、MAPE三種誤差比較法下，GRS-GARCH-DF相較於GARCH-N、GARCH-t、GRS-GARCH和GRS-GARCH-K四種模型，在訂價方面與市場價格誤差最小，並以DM檢定法證實其統計上的顯著性。因此擁有均數復歸特色的GRS-GARCH-DF在波動度的估計上相較於其他模型來的優異。
    參考文獻: 一、 中文部分
    1. 鄭亦妏，“在Black-Scholes評價模型下台指選擇權最適波動估計方法之研究”， 淡江大學管理科學研究所碩士論文，民國九十一年。
    2. 黎明淵， “馬可夫轉換模型應用性與合用性探討”，國立政治大學國際貿易學系博士論文，民國八十九年。
    二、英文部分
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    27. Karadag, Mehmet Ali,（2008）“Analysis of Turkish Sock Market with Markov Regime Switching Volatility Models”, a thesis submitted to the graduate school of applied mathematics of the Middle East Technical University.
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    32. Morgan, I.G., (1976) “Stock Prices and Heteroskedasticity”, The Journal of
    Business, Vol. 49, 496-508.
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    35. Quandt, R. E., (1972) “A New Approach to Estimating Switching Regressions”, Journal of American Statistical Association,Vol.67, 306-310.
    描述: 碩士
    國立政治大學
    財務管理研究所
    97357025
    98
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0097357025
    資料類型: thesis
    顯示於類別:[財務管理學系] 學位論文

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