2013-01-012024-05-13https://scholars.lib.ntu.edu.tw/handle/123456789/654671摘要：最新版的波動率指數VIX是利用許多不同執行價格的選擇權搭配一個無模型公式計算得來的。相對於只使用八個合約計算的舊版VIX，雖然新版的VIX本質上應該包含更多的資訊，但是它依舊是必須選擇某一個特定的選擇權到期日來計算(30天最常被使用)。因此，是否有可能從VIX的期間結構萃取出對於預測標的資產價格未來動態有用的資訊便是一個很自然會被提及的問題。 在第一年的子計畫中，此研究將首先提出一些可以萃取VIX期間結構資訊的方法，然後再檢驗這些資訊在預測S&P 500指數報酬波動率的表現。除此之外，此計畫也將探討這些資訊在預測S&P 500指數成分股報酬波動率的表現。在第二年的子計畫中，此研究將廣泛地探討VIX期間結構對於未來權益報酬率的資訊內涵。 幾乎所有資產的現貨與期貨價格都有相似的實證特性。但是，由於波動率具有均數回歸特性，VIX指數與期貨的實證特性卻有很大的不同。除了基本的理論價值外，VIX期貨價格可能還包含了對於均數回歸發生與否或快慢的預期。 因此，在第三年的子計畫中，此研究將利用一個合理的VIX期貨評價模型與VIX期貨的期間結構資料，探討市價與理論價格偏差對於S&P500指數未來波動率的資訊內涵。 第一年子計畫已完成約一半。<br> Abstract: The computation of the latest version of VIX is based on a model-free formula for the prices of S&P 500 index options with a wide range of strike prices. Although the new VIX essentially contains more information than the old one computed with eight contracts only, it is still maturity dependent with the 30-day VIX being the most frequently used one. Therefore, it is natural to ask whether it is possible to extract useful information from the VIX term structure to predict the future dynamics of the underlying asset price. In the first sub-project, we aim to contribute to literature by first proposing some approaches to extract the information implied in the VIX term structure and then empirically investigating the performance of these sorts of information in volatility forecasting of the S&P 500 index returns. Besides, we will follow the same procedure to investigate the contribution of the VIX term structure in volatility forecasting for the component stocks of the S&P 500 index. In the second sub-project, we aim to contribute to literature by comprehensively investigating the information content of the VIX term structure for future equity returns. While almost all pairs of prices of spot assets and their corresponding futures have similar empirical properties, the empirical properties of the cash and futures values of VIX are quite different owing to the mean-reverting property of volatility. In addition to the fair value, a VIX futures price may additionally contain the expectation on how likely the mean-reverting will occur shortly. The first year sub-project has been finished about 50 percent.波動率指數期貨期間結構報酬率波動率預測VIXFuturesTerm structureReturnVolatilityForecasting