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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Main Authors:	Heng-Chung Chou, 周恆中
Other Authors:	Yang-Cheng Lu
Format:	Others
Language:	zh-TW
Published:	2006
Online Access:	http://ndltd.ncl.edu.tw/handle/9r7xw3

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spelling	ndltd-TW-094MCU052140482018-04-10T17:13:14Z http://ndltd.ncl.edu.tw/handle/9r7xw3 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. 臺指選擇權波動度指數與標的指數間之非線性動態調整行為及因果相關性-非對稱波動平滑轉換向量誤差修正模型 Heng-Chung Chou 周恆中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. Yang-Cheng Lu Chung-Jung Lee 盧陽正李忠榮 2006 學位論文 ; thesis 53 zh-TW
collection	NDLTD
language	zh-TW
format	Others
sources	NDLTD
description	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.
author2	Yang-Cheng Lu
author_facet	Yang-Cheng Lu Heng-Chung Chou 周恆中
author	Heng-Chung Chou 周恆中
spellingShingle	Heng-Chung Chou 周恆中 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.
author_sort	Heng-Chung Chou
title	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.
title_short	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.
title_full	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.
title_fullStr	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.
title_full_unstemmed	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.
title_sort	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.
publishDate	2006
url	http://ndltd.ncl.edu.tw/handle/9r7xw3
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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.

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