臺灣博碩士論文加值系統

摘要
波動性的問題一直是多年以來各界所著墨的焦點，為了解何種波動性模型所算出的理論價格最貼近於市價，於是本研究利用不同之四種方法，來預測TXO未來一星期的波動度，代入到B-S 模型中得出TXO之理論價格，且利用三種價格誤差的指標，平均絕對誤差(mean absolute errors, MAE)、平均絕對誤差百分比(mean absolute percentage errors, MAPE)及均方誤 (root mean squared errors, RMSE)，來比較理論價格與TXO市場價格的差異，並探討模型、參數及預測能力是否會隨著資料的變動而有所改變。最後再使用成對樣本T檢定，比較不同波動度模型下，所有預測之理論價格與市場價格的價格誤差之差異，是否會有相對顯著，希望藉此能找出一適合的模型，可較準確地預測出TXO的合理價格，以降低交易上的損失。

Abstract
The problem of the volatility has been the focus of research for many years. In order to understand the volatility model most suitable for real market data ,we utilize four different models to model the implied volatility for one week TXO future. Three different measurements are used to compare the performance of the models. They are : mean absolute errors (MAE), mean absolute percentage errors (MAPE) and root mean squared errors (RMSE). Real data were applied to study the usefulness of the models.

目 錄
第一章 緖論………………………………………………………1
1.1 研究動機………………………………………………………1
1.2 研究目的………………………………………………………2
第二章 模型介紹與研究方法……………………………………3
2.1 Black–Scholes評價模型……………………………………3
2.2歷史波動性模型……………………………………………… 5
2.3時間序列模型………………………………………………… 5
2.3.1 AR(p)模型………………………………………………… 7
2.3.2 MA(q)模型………………………………………………… 9
2.3.3 ARMA(p,q)模型…………………………………………… 10
2.3.4預測………………………………………………………… 11
2.3.5 ARCH模型……………………………………………………12
2.3.6 GARCH模型………………………………………………… 15
2.3.7 B-S模型與ARCH/GARCH模型之應用……………………… 17
第三章 實證分析…………………………………………………19
3.1介紹資料……………………………………………………… 19
3.2模擬研究設計………………………………………………… 19
3.2.1方法一：應用IV在ARCH/GARCH中………………………… 19
3.2.2方法二：使用AR/MA/ARMA時間序列模型………………… 22
3.2.3方法三：歷史波動性……………………………………… 23
3.2.4方法四：GARCH 波動性…………………………………… 24
3.3 比較結果………………………………………………………25
第四章 結論……………………………………………………… 30
參考文獻……………………………………………………………31

參考文獻
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