The Study on The Dynamics of Long- and Short- Term Implied Volatility for U.S. Options Markets

• Main Authors: Sze-Ying, Huang, 黃思穎
• Other Authors: Kai-Li, Wang
• Format: Others
• Language: zh-TW
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/5d5ayt

碩士 === 東海大學 === 財務金融學系 === 102 === This study adopts first four trading volume index options, such as SP500 (S&P 500), RUS2000 (Rusell 2000), NSA100 (NASDAQ 100), and DOW30 (Dow Jones 30). We mainly investigate the mutual influences between long-term and short-term implied volatility and find a long run relationship existing in long-term and short-term volatility. For the long run perspective, the effect of long-term volatility on short-term volatility is more intensive than the effect of short-term volatility on long-term volatility. On the other hand, we use DCC-GARCH model to investigate the dynamics between implied volatility of long-term option and implied volatility of short-term option. The empirical evidence indicates a positive interaction between implied volatility of long-term option and implied volatility of short-term option. For the short run dynamics perspective, we find the effect of long-term volatility on short-term volatility is more intensive than the effect of short-term volatility on long-term volatility. In addition, we find the interaction between implied volatility of long-term option and implied volatility of short-term option is more intensive during the financial crisis and the contemporaneous correlation between implied volatility of long-term option and implied volatility of short-term option is lower.