| Summary: | 碩士 === 逢甲大學 === 財務金融學系碩士班 === 101 === ABSTRACT
This study estimates the model-free implied variance from the stock index options and also measures the realized variance from the stock in-dex using Taiwan stock exchange capitalization weighted stock index (TAIEX) and index option (TXO) as the research sample. The variance risk premium of equity returns is derived by applying the concept of var-iance swaps. Besides, whether the variance risk premium is an inde-pendent risk factor is also examined through the common risk factor models. The empirical results of this study show that the volatility risk premium of Taiwan stock market is significantly negative and cannot be explained by the common risk factors. The results also indicate that the volatility risk premium is time-varying. In addition, compared with the B-S implied volatility and the historical volatility, the model-free implied volatility has a stronger predictive power for future volatility.
Keywords: Volatility risk, Risk premium, Model-free implied volatility
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