Predictive Power of Option-Implied Densities from High-Frequency Data

高頻資料下風險中立密度之預測力

10.6545/JFS.2016.24(1).1

曾祺峰(Chi-Feng Tzeng)；Stephen J. Taylor；Martin Widdicks

風險中立密度預測 ； 躍動動態 ； 財務危機 ； Risk-neutral density (RND) prediction ； jump dynamics ； financial crisis

財務金融學刊

24卷1期（2016 / 03 / 31）

1 - 24

英文

以Duffie、Pan與Singleton (2000)之SVCJ模型從2005至2009年估計日頻與高頻FTSE 100指數選擇權契約。發現金融海嘯期間較金融危機前：(1)變異躍動與價格躍動的關係更為反向；(2)價格躍動平均數更負；(3)價格躍動之變異數及變異躍動之平均數更大；(4)躍動發生頻率更高。實證指出：(1)高頻資料提供較優的預測力；(2)預測期間等於選擇權到期期間時，預測力較佳。

Duffie, Pan, and Singleton's (2000) model is used to estimate implied densities using daily and high-frequency FTSE 100 index option contracts from 2005 to 2009. The empirical results suggest the following phenomena during the financial crisis: (1) more negative relationships between variance jumps and price jumps; (2) a larger magnitude of the negative mean of price jumps; (3) a larger variance of price jumps and a larger mean of variance jumps; and (4) a higher jump intensity. Further findings are as follows: (1) high-frequency data provide superior predictive power; and (2) RNDs exhibit satisfactory predictive power for option expiration dates.

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