臺灣博碩士論文加值系統

本文嘗試檢驗台灣VIX指數，是否對臺灣發行量加權股價指數的真實波動率，具有預測的能力。由於本文發現台灣VIX指數與股市真實波動率皆為非定態序列資料，因此我們計算VIX指數與真實波動率的變動比率，並對二者進行VAR檢定與Granger因果關係檢定。結果我們發現，在VAR檢定上，前期的VIX指數與真實波動率，均對當期的VIX指數與真實波動率具有解釋能力；而在Granger 因果關係檢定上，當我們把往前遞延期數增加至3期以上，我們發現真實指數波動率顯著領先VIX指數。這似乎透露著VIX指數的變動不但無法解釋真實波動率的改變，反而是真實波動率的改變可以解釋VIX指數的變動。因此，投資人似乎無法準確地預測未來股市的波動，相反地，投資人對未來股市的波動的預期，深受過去股市波動的影響。

This study tried to examine whether VIX can forecast the realized volatility of TAIEX. Because of the non-stationarity of both VIX and realized volatilities, we calculated the change rate of the two series to test their lead-lag relationship by VAR and Granger causality tests. We found the lag variables could significantly explain both VIX and realized volatilities in VAR test. On the other hand, if we used Granger Causality test and increased the number of lag progressively to 3, we found the realized volatilities led VIX but the reverse was not true. It seems VIX can’t forecast realized volatility. Reversely, VIX is affected by realized volatility. Instead of being able to forecast future market volatility, this result implies that investors’ prediction is greatly based on realized volatility.

目 錄
中文摘 要 i
英文摘 要 ii
誌 謝 iii
目 錄 iv
表目錄 v
圖目錄 vi
壹、緒論 1
一、研究背景 1
二、研究動機與目的 2
三、論文架構簡述 4
貳、文獻回顧 5
一、VIX指數計算與功用 5
二、波動率指數與報酬的關係 13
三、波動率的預測能力 15
參、研究方法與假說 18
一、資料來源與整理 18
二、研究假說 20
三、波動率的編制與檢定模型 21
肆、實證結果與分析 25
一、VIX指數與真實波動率的檢驗與調整 25
二、VAR結果分析 28
三、領先落後關係 30
四、領先時間長度分析 32
伍、結論與建議 37
一、本研究之結論 37
二、後續研究建議 38
參考文獻 39

參考文獻
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