Volatility Asymmetries in Taiwan Future Market

• Main Authors: Hsiao,Yichin, 蕭益進
• Other Authors: Lee,Chiahao
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/12634097337885833938

碩士 === 明道大學 === 企業高階管理碩士班 === 100 === This paper aims to apply threshold GARCH model to investigate the behavior of the asymmetric volatility in the Taiwan stock index futures market. The daily data of the stock index futures in Taiwan market from 2007 to 2011 is collected for analysis. Volatility is proxied using the estimated conditional volatility from threshold GARCH of stock index futures return. The empirical results indicate that return volatility of stock index futures in Taiwan market exhibit “clustering” and asymmetric return volatility before and after the Financial Tsunami. Furthermore, it was found that before and after the Financial Tsunami, the volatility asymmetry on the return of banking and insurance sector index futures has not been the same. This implies that the structural change of the banking and insurance sector index futures did affect asymmetric volatility behavior.