| dc.contributor | 國貿系 | |
| dc.creator (作者) | 林信助 | |
| dc.date (日期) | 2018-10 | |
| dc.date.accessioned | 12-May-2026 15:55:13 (UTC+8) | - |
| dc.date.available | 12-May-2026 15:55:13 (UTC+8) | - |
| dc.date.issued (上傳時間) | 12-May-2026 15:55:13 (UTC+8) | - |
| dc.identifier.uri (URI) | https://ah.lib.nccu.edu.tw/item?item_id=182499 | - |
| dc.description.abstract (摘要) | 本研究計畫提議在分量廻歸的架構下去檢視：波動率指數在扮演下行風險的角色上，是否能夠有效地預測標的股票指數的報酬率？波動率指數是從選擇權價格所估算而得的隱含波動率，它代表了市場對未來股市波動的一致性估計，並經常被稱為“恐慌指數”，因為它反映了股市的負面心理程度。問題是波動率指數是否真的能夠準確預測股市下行風險？或者，是否有其他下行風險指標更能夠有效地預測股票市場的下行風險？從既存文獻回顧中，我們得知：在檢驗風險-報酬的關係時，我們真正應該著重考量的是下行風險，而不是條件變異數或條件標準差；此外，波動率指數的變動與標的股票指數的報酬率之間則存在顯著的正向跨期關係。本研究計畫對於相關文獻的潛在貢獻包括：在分量迴歸的架構下，針對各種下行風險指標（波動率指數，風險值及尾端指數）做一通盤的審視；檢驗並比較在不同的市場狀態（不同指數報酬分位數）下，這些下行風險指標在預測未來標的股票指數報酬率的能力。這項研究的結果將有助於對風險-報酬的跨期關係之更全面性的理解。 | |
| dc.description.abstract (摘要) | This research project proposes to examine the role of the volatility index as a proxy of the downside risk in predicting the underlying index returns in a quantile regression framework. The volatility indices are measures of implied volatility obtained from options markets. It represents a market consensus estimate of future stock market volatility, and is often referred to as the “fear gauge” because it is thought to reflect negative stock market psychology. The question is whether the volatility index accurately predicts downside risk in stock markets. Alternatively, would other measures of downside risk predict downside risk in stock markets more effectively? Existing literature has shown that it is the downside risk that should be considered in the risk-return relationship. Furthermore, there is a positive intertemporal relationship between the changes of the implied volatility indices and the underlying index returns. This research project contributes to related literature by studying various downside risk measures, which include the implied volatility indices, the Value at Risk, and the tail index, in a quantile regression framework, which allows us to comprehensively scrutinize the risk-return relationship in various market states (different return quantiles.) Results of this research will contribute to a better understanding of the intertemporal relationship between stock index returns and various proxy measures of downside risk. | |
| dc.format.extent | 116 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.relation (關聯) | 科技部, MOST106-2410-H004-055, 106.08-107.07 | |
| dc.subject (關鍵詞) | 波動率指數; 下行風險; 分量廻歸 | |
| dc.subject (關鍵詞) | Volatility Index; Downside Risk; Quantile Regression | |
| dc.title (題名) | 波動率指數是否能夠預測下行風險？ | |
| dc.title (題名) | Can Volatility Indices Predict Downside Risk? | |
| dc.type (資料類型) | report | |
