政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/77149

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/77149

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政大典藏 > College of Commerce > Department of International Business > Theses > Item 140.119/77149

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/77149

Title:	台指選擇權之波動率-以馬可夫轉換模型分析 Regime-switched Volatility of TAIEX Options Using Markov-switching variance model
Authors:	陳宛頤 Chen, Wan Yi
Contributors:	謝淑貞 Shieh, Shwu Jane 陳宛頤 Chen, Wan Yi
Keywords:	馬可夫移轉波動率台指選擇權時間價值 Markov-switching variance volatility TAIEX Options time value
Date:	2015
Issue Date:	2015-08-03 13:16:28 (UTC+8)
Abstract:	本篇論文使用馬可夫移轉變異數模型探討台指選擇權之買權的波動性。馬可夫移轉變異數模型將條件變異設定為可隨時間變動而改變，甚至移轉到不同區間上。樣本在不同區間下的平滑機率估計值有助於捕捉資料特性，實證結果顯示當樣本落在高波動率區間上時，會對應著重大事件的發生，例如2004年台灣319槍擊案、2006年全球股災、2008年金融海嘯等。當樣本落在低波動率區間上時，會對應著投資人傾向將台股指數的上漲或下跌視為超漲或超跌，而賦予台指選擇權之買權負的時間價值。 This paper investigates the volatility of TAIEX Call Options using Markov-switching variance model. The Markov-switching variance model allows the conditional disturbances to change as time passes and even switch between different regimes. The estimation of smoothed probabilities under different regimes facilitates to capture the characteristics of data. The empirical result shows that the high volatility regime is related to extraordinary events, such as 319 shooting incident in 2004, the global stock market crash in 2006, and the Financial Crisis in 2008. When in low volatility regime, investors tend to treat rise or fall in TAIEX as overreactions and give TAIEX Call Options turning points of time values.
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Description:	碩士國立政治大學國際經營與貿易研究所 102351030
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0102351030
Data Type:	thesis
Appears in Collections:	[Department of International Business] Theses

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