隐含波动率曲面的预测研究:来自中国台湾市场的证据

Forecasting implied volatility surface:Evidence from Taiwan China market

本文采用"两步法"构建了期权隐含波动率曲面的动态模型,并利用该动态模型检验了台指期权隐含波动率曲面的可预测性.结果显示,台指期权隐含波动率曲面无论在统计意义上还是经济意义上都具有可预测性,当在预测过程中加入看涨(看跌)期权市场净购买压力信息后,台指看涨(看跌)期权隐含波动率曲面的样本外预测效果得到了显著提高,在不考虑交易成本以及合适的交易成本的情形下,依据模型预测结果构建的交易策略能获得正的超额收益.

The paper first builds the dynamic models of option implied volatility surface by using the ＂two-step＂ method, and then exploits the predictability of TXO implied volatility surface. The results show that the predictability of TXO implied volatility is both statistically and economically significant. Incorporating of net buying pressure index into forecasting process leads to enhancement of out-of-sample predictability of the models. Moreover, trading strategies based on the predicted results of implied volatility surface could generate positive abnormal profits even when moderate transaction costs are considered.