The Study of TAIEX Options’ Volatility

• Main Authors: Li YaHsin, 李亞欣
• Other Authors: Pan Ging-Ginq
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/11310335048798569349

碩士 === 國立屏東科技大學 === 財務金融研究所 === 95 === Abstract This research tries to find the suitable volatility estimators for TAIEX options. It mainly adopts the implied volatility model and the historical volatility model which includes extreme-value volatility estimators. The results of this research are as following: 1. The volatility forecast: The performance of the historical volatility model is better than the implied volatility model, especially the extreme-value volatility estimator. The performance of the extreme-value estimator is better than the traditional closed-price estimator. The performance of implied volatility model is unideal in this part. 2. The option price forecast: The performance of the implied volatility is the best. Furthermore, the performance of the implied volatility, which is calculated by Black Model, is also better than the TEJ’s implied volatility. 3. In general, the purpose of forecasting volatility is to forecast the option price. But the result of this research shows that even if the investors can forecast future volatility exactly, they still can’t forecast the option price well.