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政大機構典藏 > 商學院 > 風險管理與保險學系 > 期刊論文 > Item 140.119/159642

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/159642

Title:	Time-varying Predictability of TAIEX Volatility
Authors:	許永明 Shiu, Yung-Ming;Pan, Ging-Ginq;Wu, Tu-Cheng
Contributors:	風管系
Keywords:	Realized volatility;Bipower volatility;Risk-neutral moments
Date:	2025-07
Issue Date:	2025-09-24 09:53:59 (UTC+8)
Abstract:	This study examines the predictability of Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) volatility by showing a time-varying trend. Specifically, the predictability is gradually declining. The empirical method involves accounting for the measurement errors in replacing true volatility with realized volatility and employing an alternative model. Furthermore, we propose three remedial solutions and examine their effects. The findings improve our understanding of the trends in TAIEX volatility predictability and shed light on how to enhance °predictability.
Relation:	Review of Derivatives Research, Vol.28, No.2, article number 6
Data Type:	article
DOI 連結:	https://doi.org/10.1007/s11147-025-09212-9
DOI:	10.1007/s11147-025-09212-9
Appears in Collections:	[風險管理與保險學系] 期刊論文

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