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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 王耀輝 | |
| dc.contributor.author | Shih-Yi Wen | en |
| dc.contributor.author | 溫士懿 | zh_TW |
| dc.date.accessioned | 2021-06-08T04:22:32Z | - |
| dc.date.copyright | 2010-07-16 | |
| dc.date.issued | 2010 | |
| dc.date.submitted | 2010-07-02 | |
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| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/22619 | - |
| dc.description.abstract | 本文研究VIX 選擇權的隱含波動度價差和未來VIX變化的關係，發現VIX選擇權隱含波動度價差與未來VIX指數變化有正向關係。並利用加入美國S&P 500 以及 MSCI EAFE Index 當作額外經濟解釋變數的ARIMA(1,1,1)模型以及 Probit 模型來預測VIX 指數未來變動。本文發現將VIX選擇權的隱含波動度價差加入模型中可以增強模型對於預測未來VIX的能力。 | zh_TW |
| dc.description.provenance | Made available in DSpace on 2021-06-08T04:22:32Z (GMT). No. of bitstreams: 1 ntu-99-R97723061-1.pdf: 416131 bytes, checksum: bc8ae12ce3711508fe4cbae92cebf142 (MD5) Previous issue date: 2010 | en |
| dc.description.tableofcontents | Content
中文摘要 i Abstract ii Chapter I. Introduction 1 Chapter II. Literature Review 6 Chapter III. Theoretical Foundation 9 3.1 VIX options 9 3.2 Implied volatility spread 14 Chapter IV. Data and Methodology 16 4.1 Data 16 4.2 Linear model 19 4.3. Probit model 21 4.4 Forecasts 23 Chapter V. Empirical Results 25 5.1 Simple Regression Analysis 25 5.2 ARIMA (1,1,1) and Probit model 28 with additional variables 28 5.3 Forecasted results 34 5.4 Trading Strategy based on the Forecasted results 37 Chapter VI. Conclusion 40 6.1 Conclusion 40 6.2 Further Research 41 Reference 42 | |
| dc.language.iso | en | |
| dc.title | VIX選擇權隱含波動度價差與未來VIX指數變動之關係 | zh_TW |
| dc.title | The relation between the Volatility Spreads of VIX options and the future change of VIX index | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 98-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 張傳章,張森林,石百達 | |
| dc.subject.keyword | 波動率指數,隱含波動度,VIX選擇權, | zh_TW |
| dc.subject.keyword | VIX index,implied volatility,VIX option, | en |
| dc.relation.page | 45 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2010-07-02 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
| 顯示於系所單位： | 財務金融學系 | |
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