无模型隐含波动率和其所包含的信息①.pdfVIP

无模型隐含波动率及其所包含的信息① 黄薏舟 郑振龙 （厦门大学金融系，厦门，361005 ） 摘要 根据 Britten-Jones 和 Neuberger （2000 ）提出的无模型隐含波动率方法，首次对香港恒生指 数期权所含信息进行研究，并通过使用无模型隐含波动率对期权市场的效率进行直接检验，结果发现: 无模型隐含波动率所含信息最多，它完全包含了所有历史波动率所含信息，香港恒指期权市场是有效 的；在向前一个月的预测中，无模型隐含波动率还完全包含了BS 隐含波动率的信息，在向前两个月 的预测中，无模型隐含波动率虽不能完全包含BS 隐含波动率，但仍然包含了最多的信息；期权市场 交易量的大小，同时交易的不同行权价的期权的多少，是影响无模型隐含波动率预测能力的重要因素； 为追求积分密度进行过多人为的插值以及过大区间的积分，会导致无模型隐含波动率预测能力的降 低，由此得到了无模型隐含波动率的相对合适的计算方式。美国已于 2003 年开始采用无模型隐含波 动率编制波动率指数。随着金融衍生品市场的不断发展，无模型隐含波动率在资产定价、风险管理方 面将发挥越来越重要的作用。 关键词 无模型 隐含波动率 信息含量 Model-free implied volatility and its information content Abstract Britten-Jones and Neuberger(2000) derived a model-free implied volatility under the no- arbitrage assumption. This article studies the information content contained in Hang Seng Index (HSI) options, and performs a direct test of the informational efficiency of the option market using the model-free implied volatility. The results from the HSI options suggest that the model-free implied volatility contains most information among the historical volatility and the BS implied volatility, and subsumes all information contained in the past realized volatility, which means the HSI option market is efficient, and is a more efficient forecast for future realized volatility. It is also found that when the forecasting horizon is one month, the model-free volatility can also subsumes the information contained in BS implied volatility, while for two month, it’s not true, but the mode-free implied volatility still subsumes the most information. It is found that only when the trading volume of HSI options is large enough and the strike price is diversified enough, that the model-free implied volatility is more efficient than the BS implied volatility. Too m