题名

台灣股價指數選擇權價格預測:比較增廣GARCH與修正GARCH模型

并列篇名

Taiwanese Stock Index Option Prices Forecasts: Comparing the Augmented-And Modified-GARCH Models

DOI

10.6735/JAFD.201403_7(1).0002

作者

丁緯(Wei Ting);姜淑美(Shu-Mei Chiang);劉洪鈞(Hung-Chun Liu)

关键词

選擇權 ; 已實現波動 ; 高頻資料 ; BS模型 ; SPA檢定 ; Option ; Realized volatility ; High frequency data ; BS model ; SPA test

期刊名称

會計與財金研究

卷期/出版年月

7卷1期(2014 / 03 / 01)

页次

19 - 35

内容语文

繁體中文

中文摘要

本文利用GARCH(1,1)作為波動模型架構,首先在其條件變異數方程式中加入不同資訊頻率(5分、10分、30分)的已實現波動(Realized volatility, RV)作為外生變數,提出增廣模型(GARCH-RVm)。我們另考慮將GARCH條件變異數方程式之殘差平方項改以RV取代之,提出修正模型(MGARCH-RVm)。利用前述兩類模型預測台指選擇權(TXO)之理論價格,探討高頻資料對選擇權價格預測的資訊價值。實證結果指出,GARCH-RVm及MGARCH-RVm的預測績效皆優於傳統GARCH模型,顯示隱含於RV的高頻日內資訊確實可提升GARCH模型為基礎的選擇權價格預測準確性。其次,在不同的資訊頻率下,增廣模型的預測績效皆優於修正模型,表示將RV以外生變數的方式加入GARCH條件變異數方程式中,可得到較佳的預測績效。再者,SPA檢定的結果指出GARCH-RV10模型顯著優於其它模型。最後,10分鐘頻率的日內資料最具資訊價值。

英文摘要

Under the GARCH(1,1) framework, we first propose the augmented GARCH (GARCH-RVm) model which extends the traditional GARCH model by incorporating realized volatility (RV) with m-minute intraday data frequency (5-, 10- and 30-min) as explanatory variable into the variance equation. We next develop the modified GARCH model (MGARCH-RVm), which modifies the GARCH with replacement of the squared residuals in the GARCH model by RV. These models are employed to explore the information value of the high frequency data that is embodied in the RV for improving forecasts of TAIEX option (TXO) prices at daily horizon. Empirical results indicate that both of the augmented- and modified-GARCH models outperform the traditional GARCH model, suggesting that the GARCH-based option price forecasts can be moderately improved with the additional information contained in RV. Secondly, for each data frequency, the augmented model consistently generates more accurate option price forecasts than the modified model. Thirdly, the results from the SPA test show that the GARCH-RV10 significantly dominates other models. Finally, the intraday data with ten-minute frequency is the most informative.

主题分类 社會科學 > 財金及會計學
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