隱含波動率之實證研究─以台灣認購權證為例

Abstract

本研究主旨在探討隱含波動率、歷史波動率與真實波動率之相關性，以及從權證標的個股之產業類別、資本額及股票市價等不同分類方式下，隱含波動率與歷史波動率之差異是否會因此而有不同結果，最後探討隱含波動率與歷史波動率之差異，與距權證到期日時間長短是否相關。

實證結果顯示隱含波動率、歷史波動率以及真實波動率兩兩間有顯著差異，而隱含波動率與歷史波動率之相關性較真實波動率高。此外，隱含波動率與歷史波動率之差異，會隨著權證標的個股不同類別而有影響，其中傳產股差異較電子股高；中小型股差異較大型股高；高價股差異較中低價股高。最後，隱含波動率與歷史波動率之差異能夠被距到期日長短所解釋的部分偏低，距到期日長短可能不是兩者差異之主要原因。

This paper mainly studies the relationship among implied volatility, historical volatility and actual volatility. In addition, it aims at whether the difference between implied volatility and historical volatility varies from different categories of underlying stock, such as industry, issued capital and stock price. Last, it aims at whether the difference between implied volatility and historical volatility relates to the time to expiration date.

As the empirical results show, there are significant difference among implied volatility, historical volatility and actual volatility. The correlation between implied volatility and historical volatility is higher than implied volatility and actual volatility. In addition, the difference between implied volatility and historical volatility varies from different categories of underlying stock, such as industry, issued capital and stock price. Last, the difference between implied volatility and historical volatility is lack of evidence to prove that it is related to the time to expiration date. Time to expiration date may not the major reason to the difference.