Forecasting Volatility in Taiwan with Encompassing Regression Models
學年 109
學期 2
出版(發表)日期 2021-04-23
作品名稱 Forecasting Volatility in Taiwan with Encompassing Regression Models
著者 Chang-Wen Duan; Ken Hung; Shinhua Liu
著錄名稱、卷期、頁數 International Journal of Economics, Finance and Management Sciences 9(2), P.62-76
摘要 Volatility forecasting is important both theoretically and in practice, varying by forecasting methods and financial markets. In this article, we explore this topic in the Taiwanese markets, using the encompassing regression models. We use the volatility of the Taiwan Stock Index (TAIEX) and its futures in the encompassing regression model to respectively make asynchronous forecasts of realized volatility (RV) and implied volatility (IV). Besides trading frequency, we find that transaction matching time is a key factor for obtaining steady RV values. Also, we find that the TAIEX index RV has a long memory. Moreover, we discover that, to obtain a stationary RV with a stable, long memory parameter, the optimal sampling intervals for the intraday return were nine (9) and thirty (30) minutes. In addition, we uncover that the spot volatility is more predictive of RV than the futures volatility. In the forecasting of IV, the volatility of futures has more information content, which can help improve overall forecast performance, especially when employing the ARFIMA+Jump model in the non-bear market and the ARFIMA+Jump/Leverage model in the bear market. The empirical result implies that the underlying asset of the TAIEX options (TXO) is approximately the index futures rather than the spot index, owing mainly to the demands for hedging and arbitrage from the TXO holders.
關鍵字 Bayesian ARFIMA;Encompassing Regression;Forecasting;Implied Volatility;Realized Volatility;Taiwan
語言 en_US
ISSN 2326-9553
期刊性質 國外
通訊作者 Chang-Wen Duan
國別 USA
出版型式 ,電子版,紙本

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SDGS 尊嚴就業與經濟發展,產業創新與基礎設施