The Information Content of Implied Volatility Index and the Evaluation of Volatility Forecasting Techniques for Taiwan Stock Market
| Autor: | Zheng-Hui Chen, 陳正暉 |
|---|---|
| Rok vydání: | 2004 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 92 Volatility plays a quite important role in CAPM theory and VaR calculating. In the framework of an option pricing model such as Black and Scholes (1973) model, the expected volatility of asset is the volatility embedded in price of option. If option price is available, then Black and Scholes (1973) model pricing formula can be “inverted” such that the expected volatility over the life of the option is computed from the observed market price of call or put options. To price an option appropriately, forecasting volatility is a major key element for the option traders. Unfortunately, the existing literature contains conflicting evidence result. In this paper, we pose another Taiwan Volatility Index (TVX) according to the trading characteristic of Taiwan stock market and assess the efficiency and unbiasedness of volatility forecasts based on TVX and VIX at 5-, 10-, 22-day time horizon. Additional, the performance of these forecast models, TVX、VIX、GARCH(1,1)、E-GARCH(1,1)、GJR-GARCH(1,1) and Markov switching model, are evaluated by symmetric and asymmetric statistical loss function or error statistics. The results suggest that volatility forecasts based on the implied volatility indexes are not unbiased and efficient. In short term, VIX is more valuable. In long term, TVX_P is more significant. Otherwise GARCH family is more precise under symmetric and asymmetric statistical loss function or error statistics. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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