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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/58725


    Title: 以VIX指數偵測危機狀態之效果探討─TVTP方法之應用
    A Study of the Effects on Detecting Financial Crisis State Using the VIX Index: Through the TVTP Approach
    Authors: 戴天君
    Tai, Tien Chun
    Contributors: 陳威光
    戴天君
    Tai, Tien Chun
    Keywords: 波動度指數
    金融危機
    時序變動型馬可夫轉換模型
    狀態轉換
    VIX
    Financial Crisis
    TVTP
    State Switching
    Date: 2012
    Issue Date: 2013-07-01 17:51:52 (UTC+8)
    Abstract: 　　2008年全球爆發了金融海嘯，其後短短半年內，美國S&P500指數跌幅高達48%，令金融市場投資人一片譁然，連帶造成各項投資工具的價格重挫，並正式確立了美國市場的空頭格局。在此同時，具有「投資人恐慌指標」之稱的波動度指數(VIX)卻上漲了125%。VIX指數在歷史上幾次重大國際金融危機發生時點皆呈現大幅彈升與劇烈波動的現象；相較之下，在市場穩定、多頭氣氛濃厚時，VIX多處在低位且波動平緩。這兩種顯著差異的現象即VIX指數的狀態變化。
    　　本研究目的之一為判斷VIX指數是否隨著前述兩種市場多空情形，而在自身結構上發生相對應的變化，並試圖了解狀態間轉換的時間點為何。本研究採用的方法為Filardo於1994年發表的「時序變動型馬可夫轉換模型(TVTP)」。此外，本研究更同時從統計角度及各模型實際績效表現，來比較納入額外變數資訊的TVTP模型是否優於Hamilton於1989年所提出的不包含額外資訊的「固定轉移機率馬可夫轉換模型(FTP)」。最後，本研究亦將歸納有助於提升模型能力的變數，以做為了解、甚至是判斷VIX指數變化的參考指標。
    　　實證發現VIX指數可依據TVTP模型而區分為「低平均、低波動」與「高平均、高波動」兩種結構，且確實反映金融市場處於「平靜」或「危機」的狀態。本文也發現納入特定變數的TVTP模型不僅在統計角度上顯著優於FTP模型，利用TVTP模型偵測出的狀態變化時點進行買賣操作得到的實際績效亦優於FTP模型。本研究同時也歸納出觀察VIX指數動態時最具參考性的三大指標─追蹤S&P500指數的ETF價格變化、10年期信用價差和5年期信用價差，其中尤以5年期信用價差的模型在實際績效方面表現最佳，年化報酬率不僅優於FTP模型，亦超越同期大盤表現。
    　　During the period from September, 2008 to March, 2009 after the financial crisis occurred, the S&P 500 index dropped about 48%, and global financial market suffered severe losses which established bear market firmly. Nevertheless, the “investor fear gauge”- CBOE Volatility Index rose 125% at the same time. Moreover, when some worldwide historic financial events or crises occurred, the VIX index also dramatically increased and fluctuated intensely. In contrast, while the market is tranquil or in a bull market, the level of VIX index keeps low and fluctuates smoothly; such structural change is called state switching.
    　　One of the purposes in this study is to identify state switching in VIX index, and the time-varying transition probability Markov switching model (TVTP) Filardo developed in 1994 is used. Further, this paper investigates whether the effect of state identification by TVTP model incorporating exogenous variables is better than FTP model which is without extra variables. Finally, this paper generalizes what variables are beneficial for the model estimation and help observing VIX index.
    　　The empirical results indicate that the VIX index can truly be identified as two states, and state switching indeed exists. Moreover, the TVTP models which incorporate respectively SPDR S&P500, 10-year credit spread, or 5-year credit spread are statistically significant better than the FTP model. Comparing all models through their practical performance, this paper finds six of nine TVTP models have higher return than FTP model, and even surpass the U.S. stock market index. Thus, this study concludes that the above three variables are the most significant useful indicators to observe the changes of VIX index, especially the 5-year credit spread.
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    Description: 碩士
    國立政治大學
    金融研究所
    100352009
    101
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0100352009
    Data Type: thesis
    Appears in Collections:[Department of Money and Banking] Theses

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