标题: | An Empirical Modeling of Index Volatility with Wavelet Analysis An Empirical Modeling of Index Volatility with Wavelet Analysis |
作者: | 王南杰 Wang, Nan-Jye 郑振和 王克陆 Jeng, Jenher Wang, Keh-Luh 财务金融研究所 |
关键字: | Volatility;Realized integrated variance;Mean-reverting process;CEV model;Wavelet;Volatility;Realized integrated variance;Mean-reverting process;CEV model;Wavelet |
公开日期: | 2004 |
摘要: | 本文定义一市场波动度测度Realized integrated variance, 并检视S&P 500, Nasdaq以及FTSE 100三个市场的Realized integrated variance的特性. Realized integrated variance數学的定义为某一段时间内市场日报酬率的变異數, 在传统的理論架构中, 例如GARCH, 将Realized integrated variance视为其波动度测度Spot volatility的近似值. 本文认为, 市场參与者參与市场的时机乃根据可以观察得到的Realized integrated variance, 而非Spot volatility. 再者, 由于若干連结波动度的衍生性金融产品的出现, Realized integrated variance成为可以直接交易的标的. 因此有必要直接刻画Realized integrated variance的性质. 首先, 我们发现波动度是一非稳态(nonstationary)的Jump-decaying的时间序列. 在将市场分割成booming和slumping不同的段落之后, 我们发现波动度时间序在这2种时间的特性有显着的差異. 其次, 由波动度所呈现的市场特性, 可能因为1997之后大量使用选择权等避险工具而有所改变. This paper examines the realized integrated variance of the daily return rate series of S&P 500, Nasdaq and FTSE 100 respectively. The realized integrated variance is defined to be the statistical variance of the market index return rates within a certain time window. In stead of regarding the realized integrated variance as an empirical approximate of the latent spot volatility as formally defined in a mathematical framework, such as GARCH, we treat it as a direct “observable” volatility measure and try to model its dynamics straightforward. First, we find the volatility series is a stochastic jump-decay process rather than being all-over-the-time stationary in each market. Also, under switching booming and slumping market conditions, the volatility series exhibits significantly different dynamic characteristics. Secondly, some major market structures, related to volatility mechanism, might have changed due to the hefty usage of options for hedging volatility risk after 1997. |
URI: | http://140.113.39.130/cdrfb3/record/nctu/#GT009239521 http://hdl.handle.net/11536/77349 |
显示于类别: | Thesis |