ADL門檻模型估計績效－以波動度指數期貨為例

The Performance of ADL Threshold Model for Volatility Index Futures

10.6736/JPSR.201110_8(2).0001

李彥賢(Yen-Hsien Lee)；陳郁涵(Yu-Han Chen)；蘇韋帆(Wei-Fan Su)

波動度指數期貨 ； Mini波動度指數期貨 ； ADL門檻共整合 ； 因果關係 ； VIX Futures ； Mini VIX Futures ； ADL Threshold model ； Causality

績效與策略研究

8卷2期（2011 / 10 / 01）

1 - 10

繁體中文

本研究根據Li and Lee（2010）提出ADL門檻模型進行分析波動度指數期貨與Mini波動度指數期貨是否備有門檻共整合與因果關係，以及是否存在不對稱性進行分析。實證結果指出根據各種準則檢定發現ADL門檻模型較高ADL模型解釋力。再者，本研究發現波動度指數期貨與迷你波動度指數期貨具有門檻共整合現象。最後，其實證結果發現迷你波動度指數期貨報酬具有單向影響波動度指數期貨報酬之關係。其實證結論將提供投資人對於果對波動度指數期貨與迷你波動度指數期貨交易之投資策略參考。

This study is the first to examine the existence of threshold cointegration, causality and asymmetry relationships between VIX and mini VIX futures by Li and Lee (2010). The empirical results found that the ADL Threshold model has power than ADL model; therefore, this study provided strong evidence favoring the long run relationship between VIX and Mini VIX futures by ADL threshold approach. Moreover, this study finds that the led-lag relationship from mini VIX futures to VIX futures by applied ADL threshold approach. The study contributes significantly to strategy of VIX futures index and mini VIX futures index trading.

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