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研究生:林詩珊
研究生(外文):Shih-Shan Lin
論文名稱:VIX波動度Wavelet-CEV模型之研究-----使用狀態轉換架構與小波分析方法
論文名稱(外文):VIX Volatility Wavelet-CEV Model-----Using Regime Switching and Wavelet Analysis
指導教授:王克陸王克陸引用關係
指導教授(外文):Keh-Luh Wang
學位類別:碩士
校院名稱:國立交通大學
系所名稱:財務金融研究所
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:2005
畢業學年度:93
語文別:中文
論文頁數:59
中文關鍵詞:波動度分析CEV變異數模型小波分析狀態改變
外文關鍵詞:Volatility modelingCEV modelWavelet analysisRegime Switching
相關次數:
  • 被引用被引用:1
  • 點閱點閱:317
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  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:1
本研究針對芝加哥選擇權交易所﹝CBOE﹞所訂定的波動度指標﹝VIX﹞,對波動度直接做模型配適。應用狀態轉換模型(Regime Switching)的概念以及分段線性模型﹝piecewise linear model﹞的架構,採用Wavelet—CEV變異數模型檢視有關參數的性質及波動度模型的配適效果。一般而言,波動度平均值在牛市時較低、熊市時較高,而收斂速度則是在牛市時較大、熊市時較小。Wavelet 之分析方法可處理異常之大波動,使波動度模型之參數估計較為準確,也在結構分析上協助對波動度狀態的瞭解。
The purpose of this research is to model the volatility index, VIX, formulated by CBOE using the concept of Regime Switching and piecewise linear structure. I adopt the Wavelet analysis to inspect the properties of CEV parameters in the stochastic volatility model. Generally speaking, volatility is relatively high in the bear market and low in the bull market. The converging rate on average is higher in the bull market than that in the bear market. Wavelet analysis which can deal with the unusual structure change in the market enables the parameter estimation to be correctly specified.
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