波动率预测-GARCH模型与隐含波动率-郑振龙.pdfVIP

# 140 # 5数量经济技术经济研究6 2010 年第1期 波动率预测: GARCH 模型与 ¹ 隐含波动率 1 2 郑振龙 黄薏舟 ( 11 厦门大学金融系; 21 新疆财经大学) = 在预测未来波动率时, 究竟是基于 史数据的时间序列模型还是基于 期权价格的隐含波动率模型效率更高? 本文对香港恒生指数期权市场所含信息的研 究发现, 在预测期限较短 ( 一周) 时, GARCH ( 1, 1) 模型所含信息较多, 预测 能力最强, 但在预测较长期限 ( 一个月) 时, 隐含波动率所含信息较多, 预测能力 较强同时, 期权市场交易越活跃, 所反映的信息就越全面, 隐含波动率的预测能 力也就越强 隐含波动率 GARCH 模型 信息含量 F830 A Volatility Forecast: GARCH Model vs Implied Volatility Abstract: It is an interesting question that which is ore efficient in forecas- ting thefuture volatilities, the ti eseries odels based on historical data or i plied volatilities obtained directly fro the option prices1 The study based on Hang Seng Index ( HSI) options suggests that when the forecast horizon is one week, the GARCH ( 1, 1) volatilities contains all infor ation in i plied volatilities, while the result is the opposite and i plied volatilities are ore efficient in the prediction of future volatilities when the horizon is one onth1 The larger the option trading volu e, the ore the infor ation contained in i plied volatilities1 Key words: I plied Volatility; GARCH Model; Infor ation Content , ¹ : / 0 ; / 0 : / 0 (2009JYJR051) ; : / 0 (2009J01316) 波动率预测: GARCH 模型与隐含波动率 # 141 # , , 20 , , , : , , ARCH , (SV ) ; , , : , , ; , , ; , , , , , , , , , , , , , , , , , , ¹ Engle (