dc.contributor.advisor | 廖四郎 | zh_TW |
dc.contributor.author (Authors) | 林政聲 | zh_TW |
dc.creator (作者) | 林政聲 | zh_TW |
dc.date (日期) | 2009 | en_US |
dc.date.accessioned | 8-Dec-2010 01:56:56 (UTC+8) | - |
dc.date.available | 8-Dec-2010 01:56:56 (UTC+8) | - |
dc.date.issued (上傳時間) | 8-Dec-2010 01:56:56 (UTC+8) | - |
dc.identifier (Other Identifiers) | G0097352018 | en_US |
dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/49011 | - |
dc.description (描述) | 碩士 | zh_TW |
dc.description (描述) | 國立政治大學 | zh_TW |
dc.description (描述) | 金融研究所 | zh_TW |
dc.description (描述) | 97352018 | zh_TW |
dc.description (描述) | 98 | zh_TW |
dc.description.abstract (摘要) | 本研究主要探討幾個廣受市場投資人所使用的波動度預測模型,如歷史波動度法、指數加權移動平均法、GARCH、EGARCH以及隱含波度,另外再考慮近年才被學者提出的RLS模型與A-RLS模型,一同比較它們對於台灣市場波動度的預估能力,並擇一最優者,作為從事波動度交易的訊號依據。本文在進行波動度交易之實證,主要是利用選擇權與期貨組合、選擇權與delta期貨組合、跨式交易策略與勒式交易策略等四種廣為波動度交易者使用之波動度交易策略,進而比較它們在樣本外的交易績效。本波動度預測的實證發現,樣本內的預測能力,是以GARCH和RLS模型最佳,而樣本外的預估能力,則是GARCH表現最好。另外,波動度交易的驗證結果顯示,若持有至次一交易日即平倉,勒式交易策略於買進波動度時會有最高的績效,而當放空波動度時,則是跨式交易策略會有最佳的表現。 | zh_TW |
dc.description.tableofcontents | 第一章 緒論 1 一、 研究動機 1 二、 研究目的 2 三、 研究架構 2 第二章 文獻探討 4 一、 波動度預測模型 4 二、 波動度交易策略 9 第三章 研究方法與理論模型 11 一、 波動度預測模型 12 二、 衡量預測誤差之方法 21 三、 波動度交易訊號 23 四、 波動度交易策略 25 五、 交易績效之衡量 31 第四章 研究資料與實證結果 33 一、 研究資料 33 二、 實證結果 34 第五章 結論與後續研究建議 54 參考文獻 56 | zh_TW |
dc.language.iso | en_US | - |
dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0097352018 | en_US |
dc.subject (關鍵詞) | 波動度預測 | zh_TW |
dc.subject (關鍵詞) | 波動度交易 | zh_TW |
dc.subject (關鍵詞) | GARCH | zh_TW |
dc.subject (關鍵詞) | 隱含波動度 | zh_TW |
dc.subject (關鍵詞) | 選擇權與期貨組合 | zh_TW |
dc.subject (關鍵詞) | 跨式策略 | zh_TW |
dc.subject (關鍵詞) | 勒式策略 | zh_TW |
dc.title (題名) | 波動度預測與波動度交易—以台灣選擇權市場為實證 | zh_TW |
dc.title (題名) | Forecasting volatility and volatility trading—evidence from Taiwan options market | en_US |
dc.type (資料類型) | thesis | en |
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