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研究生:陳秀慧
研究生(外文):Hsiu-hui Chen
論文名稱:現貨波動性估計與股價指數期貨定價
論文名稱(外文):The Spot Volatility Estimations and the Pricing of Stock Index Futures
指導教授:王健聰王健聰引用關係
學位類別:碩士
校院名稱:國立高雄第一科技大學
系所名稱:金融營運所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2004
畢業學年度:92
語文別:中文
論文頁數:71
中文關鍵詞:隨機波動性不對稱GARCH模型Hemler and Longstaff模式持有成本模式
外文關鍵詞:stochastic market volatilityasymmetric GARCH modelHemler and Longstaff (1991) modelcost of carry model
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現貨波動性估計與股價指數期貨定價

摘 要

本文研究目的之一,即是採用六種波動性估計方法以估計Hemler and Longstaff模式中的股價波動性,以檢視何種估計方法較能捕捉台股指數的波動性,進而提升Hemler and Longstaff模式定價績效。其次,本文也比較Hemler and Longstaff (1991)模式與持有成本模式定價績效。
本文的實證結果顯示:(1)子期間1和子期間2的絕對價格誤差率比較,結果顯示,不管是TAIFEX期貨或SGX-DT期貨,子期間1均存在著較大的絕對價格誤差率。(2) TAIFEX台指期貨全部期間和子期間1的市場, Hemler and Longstaff模式中,以ROLLING法所估計的波動性有最小的定價誤差率,而TAIFEX台指期貨市場子期間2則是以EWMA法所估計的波動性有最佳的定價績效。(3) SGX-DT摩根台股期貨全部期間和子期間2,Hemler and Longstaff模式中是以EGARCH法有較佳的定價績效,子期間1以ROLLING法有較佳的定價績效。(4)考量股價波動性Hemler and Longstaff定價模式,運用在TAIFEX台指期貨優於持有成本定價模式。










關鍵字:隨機波動性、不對稱GARCH模型、Hemler and Longstaff模式、持有成本模式。
The Spot Volatility Estimations and the Pricing of Stock Index Futures

Student:HSIU HUI Chen         Advisors:Dr. Jan Chung Wang
                  
Department of Financial Operations
National Kaohsiung First University of Science and Technology.

ABSTRACT

The purposes of this study are (1) to test which approach can better capture Taiwan stock index volatility by using six alternative approaches to estimate stock index volatility in the Hemler and Longstaff (1991) model. ; and (2) to compare the price performance of the cost of carry model and that of the Hemler and Longstaff (1991) model.

The empirical results can be summarized as follows:(1) The absolute percentage error of the first subperiod is larger than that of the second subperiod for the TAIFEX futures and the SGX-DT futures. (2) The mean absolute percentage error of the Hemler and Longstaff model with volatility estimated by the ROLLING method is the lowest in the full period and the first subperiod for the TAIFEX futures. (3) As for the SGX-DT futures, the performance of the Hemler and Longstaff model with volatility estimated by the EGARCH method is the best in the full period and second subperiod. (4) Overall, the performance of the Hemler and Longstaff model that incorporates stochastic market volatility is better than that of the cost of carry model for the TAIFEX futures.












Key words: stochastic market volatility, asymmetric GARCH model, Hemler and Longstaff (1991) model, cost of carry model.
目錄 頁次
中文摘要 i
英文摘要 ii
誌謝 iii
目錄 iv 表目錄 v
圖目錄 vi
第壹章 緒論
第一節 研究動機 1
第二節 研究目的 4
第三節 章節架構 6
第貳章 文獻探討
第一節 股價指數期貨定價模式 8
第二節 對稱和不對稱波動性的文獻回顧 13
第參章 研究方法
第一節 資料的處理和檢定 16
第二節 實證方法 19
第肆章 實證結果與分析
第一節 實證資料 27
第二節 現貨市場波動性的估算Hemler and Longstaff均衡模式之
驗證 35
第三節 持有成本與Hemler and Longstaff模式之定價績效的比較 47
第伍章 結論和建議
第一節 研究結論 56
第二節 研究建議 58
參考文獻
參考文獻

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