Forecasting Volatility With Spot Index and Index Futures: Evidence From Taiwan
學年 109
學期 2
出版（發表）日期 2021-06-23
作品名稱 Forecasting Volatility With Spot Index and Index Futures: Evidence From Taiwan
作品名稱（其他語言）
著者 Chang-Wen Duan; Ken Hung; Shinhua Liu
單位
出版者
著錄名稱、卷期、頁數 Journal of Accounting and Finance 21(2), p.41-68
摘要 In this article, 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). Initially, we discover that, to obtain a stationary RV with a stable, long memory parameter, the optimal sampling intervals for the intraday return were 9 and 30 minutes. We uncover that the spot volatility is more predictive of RV than the futures volatility. To forecast IV, the volatility of futures has more information content, helping to improve overall forecast performance. The 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. Finally, we confirm the forecasting capability of our various models via extensive forecasting error and simulation exercises.
關鍵字 accounting;finance;Bayesian ARFIMA;encompassing regression;forecasting;implied volatility;realized volatility;Taiwan
語言 en_US
ISSN 2158-3625
期刊性質 國外
收錄於
產學合作
通訊作者 Duan Chang-Wen
審稿制度 是
國別 USA
公開徵稿
出版型式 ,電子版
相關連結

機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/122906 )

SDGS 尊嚴就業與經濟發展,產業創新與基礎設施