Empirical Study of factor of Implied Volatility Surface Change by PCA
碩士 === 國立臺灣科技大學 === 財務金融研究所 === 92 === This paper uses the Principal Component Analysis (PCA) to finding out the daily change factor which cause for TXO implied volatility surface. These changes are regressed on innovations in a number of market variables to relate implied volatility to the larger e...
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| Format: | Others |
| Language: | en_US |
| Published: |
2004
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| Online Access: | http://ndltd.ncl.edu.tw/handle/06668925238571111826 |
| Summary: | 碩士 === 國立臺灣科技大學 === 財務金融研究所 === 92 === This paper uses the Principal Component Analysis (PCA) to finding out the daily change factor which cause for TXO implied volatility surface. These changes are regressed on innovations in a number of market variables to relate implied volatility to the larger economy. Taking advantage of 15 cells with different moneynesss and maturity and the average volatilities in those sections represent volatility. In respect of the call, the long-term is the main factor to cause TXO implied volatility surface change. In respect of the put, the short-term is the main factor to cause TXO implied volatility surface change. The regression coefficients exhibit implied volatility change have opposite sign with return of the TXO. However, there have no significant with TXO(-1) returns and S&P500(-1) returns.
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