Nonlinear Dynamics and Information Content between the Volatility Index of Taiwan Stock Market and Underlying Equity Index: Application of Smooth transition Vector error Correction Model.
碩士 === 銘傳大學 === 財務金融學系碩士班 === 94 === We calculate the volatility index of Taiwan stock index options market (TVIX) following the essence of CBOE volatility index by using the intraday 15 minutes data in the Taiwan index options market . Based on STAR (Terasvirta and Anderson, 1992), we analyze th...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/9r7xw3 |
| Summary: | 碩士 === 銘傳大學 === 財務金融學系碩士班 === 94 === We calculate the volatility index of Taiwan stock index options market (TVIX) following the essence of CBOE volatility index by using the intraday 15 minutes data in the Taiwan index options market . Based on STAR (Terasvirta and Anderson, 1992), we analyze the nonlinear and asymmetric dynamics between TVIX and its underlying stock index (TX) through smooth-transition vector error-correction model (STVECM) embedded with GJR-GARCH. The dynamically nonlinear adjustment and causality behavior between TVIX and TX are well captured through our STVECM-GJR-GARCH. The nonlinear Granger causality test (Hienstra and Jones, 1994) confirms that volatility index TVIX does lead its underlying stock index TX in the transition area. Practically, the practitioners can dynamically and properly tune their portfolio allocations by using options contracts as TX signals its precedence of the TVIX.
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