標題: Systematic risk and volatility skew
作者: Tzang, Shyh-Weir
Wang, Chou-Wen
Yu, Min-Teh
交大名義發表
National Chiao Tung University
關鍵字: Beta smile;CAPM;GARCH;Systematic risk proportion;Volatility skew
公開日期: May-2016
摘要: The impact of systematic risk on volatility skew is assessed in a CAPM-GARCH framework under which the relationship between asset price and market index adheres to the CAPM with each residual following an asymmetric GARCH process. From numerical analysis, we demonstrate that (1) the relation between beta and implied volatilities presents a beta smile; (2) beta can determine the shape of implied volatility curve, but systematic risk proportion (SRP) cannot; and (3) the degree of negative skewness and positive kurtosis is proportional to the SRP; however, a higher SRP does not always lead to a higher level of implied volatility. (C) 2015 Elsevier Inc. All rights reserved.
URI: http://dx.doi.org/10.1016/j.iref.2015.10.032
http://hdl.handle.net/11536/133855
ISSN: 1059-0560
DOI: 10.1016/j.iref.2015.10.032
期刊: INTERNATIONAL REVIEW OF ECONOMICS & FINANCE
Volume: 43
起始頁: 72
結束頁: 87
Appears in Collections:Articles