本文關(guān)鍵詞：波動(dòng)率預(yù)測(cè)模型與比較　出處：《上海交通大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 波動(dòng)率 預(yù)測(cè) GARCH模型 隱含波動(dòng)率

【摘要】：本文選擇香港市場(chǎng)恒生指數(shù)作為分析標(biāo)的，旨在比較三種常見的波動(dòng)率預(yù)測(cè)模型,GARCH簇模型，BS隱含波動(dòng)率以及無(wú)模型隱含波動(dòng)率,關(guān)于不同長(zhǎng)度的時(shí)間范圍內(nèi)的波動(dòng)率的預(yù)測(cè)能力。 隱含波動(dòng)率與GARCH簇模型相比，，對(duì)較長(zhǎng)時(shí)間范圍內(nèi)的波動(dòng)率表現(xiàn)出更強(qiáng)的預(yù)測(cè)精度，尤其是BS隱含波動(dòng)率，隨著預(yù)測(cè)期限的延展甚至比GARCH模型預(yù)測(cè)能力更好。由于隱含波動(dòng)率是基于投資者的市場(chǎng)預(yù)期得到，這反映了投資者對(duì)較長(zhǎng)時(shí)間期限內(nèi)的波動(dòng)率預(yù)測(cè)能力較強(qiáng)。另外，無(wú)模型隱含波動(dòng)率的預(yù)測(cè)精度與市場(chǎng)交易的集中度相關(guān)，如果市場(chǎng)集中在平價(jià)期權(quán)上進(jìn)行交易，實(shí)值和虛值期權(quán)會(huì)因交易量不足而定價(jià)效率不高，以至于無(wú)模型隱含波動(dòng)率的預(yù)測(cè)能力不強(qiáng)。除此之外，各模型的信息含量也被加以考察，結(jié)果表明三者表現(xiàn)出來(lái)的信息互有交疊，但是并沒(méi)有完全覆蓋。 與前人研究結(jié)果的對(duì)比表明，香港市場(chǎng)平價(jià)期權(quán)的定價(jià)效率較高，但實(shí)值和虛值期權(quán)的定價(jià)效率取決于市場(chǎng)交易集中度。
[Abstract]:In this paper, the Hang Seng Index of Hong Kong market is chosen as the object of analysis. The purpose of this paper is to compare the implied volatility of the GARCH cluster model with the implied volatility of the GARCH cluster model and the implicit volatility without the model. The ability to predict volatility over time ranges of different lengths. Compared with the GARCH cluster model, the implied volatility shows a stronger prediction accuracy for a long time range, especially for the BS implicit volatility. With the extension of the forecast period, the forecasting ability is even better than the GARCH model, because the implied volatility is based on investors' market expectations. This reflects the strong ability of investors to predict volatility over a longer period of time. In addition, the prediction accuracy of unmodeled implied volatility is related to the concentration of market transactions. If the market focuses on parity options, the real value option and virtual value option will be priced inefficiently because of insufficient trading volume, so that the ability to predict the implied volatility without model is not strong. The information content of each model is also investigated. The results show that the information presented by the three models overlaps with each other, but it is not completely covered. The comparison with previous studies shows that the pricing efficiency of parity options in Hong Kong is high, but the pricing efficiency of real and virtual options depends on the concentration of market transactions.
【學(xué)位授予單位】：上海交通大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51;F224

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相關(guān)期刊論文 前3條

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本文編號(hào)：1411351