博碩士論文 102225024 詳細資訊




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姓名 楊舒媛(Shu-Yuang Yang)  查詢紙本館藏   畢業系所 統計研究所
論文名稱
(Modelling the VIX index and hedging the S&P 500 futures using VIX opions)
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摘要(中) VIX 是美國 S&P 500 指數的隱含波動度測度的指數,由美國芝加哥證券交易所發行,
該指數量測未來 30 天的市場波動。此篇論文針對 VIX 指數歷史資料的變異數波動現象,
比較數個 GARCH 型模型的配適結果。另外,利用 VIX 和 S&P 500 指數之間的負相關,
比較 VIX 選擇權和 S&P 500 選擇權規避 S&P 500 期貨的下行風險成果。
摘要(英) VIX is a popular measure of the implied volatility of Standard and Poor 500 (S&P 500)
index options, it is a trademarked ticker symbol for the Chicago Board Options Exchange
Market Volatility Index, and it represents one measure of the market′s expectation of
stock market volatility over the next 30 day period. This thesis investigates the volatility
clustering phenomenon and compares the tting performance of several GARCH-typed
models. In addition, because there is a negative relationship between VIX index and S&P
500 index, hedging performances for S&P 500 index futures using VIX options and S&P
500 options are also compared. It is interesting to nd that, to hedge the downward risk
of S&P 500 index future using VIX call options outperforms than using S&P 500 option.
關鍵字(中) ★ VIX
★ S&P 500
★ 隱含波動度
★ GARCH
★ 避險
★ 選擇權
關鍵字(英) ★ VIX
★ S&P 500
★ implied volatility
★ GARCH
★ hedge
★ option
論文目次 摘要 i
Abstract ii
致謝 iii
List of Figures vi
List of Tables viii
1 Introduction 1
2 Modelling the VIX 5
2.1 Explorotary data analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
2.2 Model considerations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
2.2.1 GARCH (1,1) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
2.2.2 EGARCH(1,1) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
2.2.3 GARCH(1,1)-Jump . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
2.3 Parameter estimation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12
2.3.1 GARCH(1,1) with Gaussian innovations . . . . . . . . . . . . . . . 13
iv
2.3.2 GARCH(1,1)-Jump with Gaussian innovations . . . . . . . . . . . . 13
2.4 Estimation results and residual tests . . . . . . . . . . . . . . . . . . . . . 19
3 Hedging 25
3.1 Motivations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25
3.2 Explorotary data analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
3.3 Hedging procedure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32
3.4 Execution and hedging results . . . . . . . . . . . . . . . . . . . . . . . . . 35
4 Conclusion 42
Reference 44
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指導教授 鄧惠文(Huei-Wen Teng) 審核日期 2015-8-24
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