English  |  正體中文  |  简体中文  |  Items with full text/Total items : 90096/105238 (86%)
Visitors : 7212819      Online Users : 593
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    ASIA unversity > 管理學院 > 財務金融學系 > 期刊論文 >  Item 310904400/17599

    Please use this identifier to cite or link to this item: http://asiair.asia.edu.tw/ir/handle/310904400/17599

    Title: Do liquidity and sampling methods matter in constructing volatility indices? Empirical evidence from Taiwan
    Authors: 臧仕維;Tzang, Shyh-Weir
    Contributors: 財務金融學系
    Keywords: VIX;VXO;Sampling method;Rollover rules;Implied volatility;Index options;Taiwan Stock Exchange Index (TAIEX) options
    Date: 2011-04
    Issue Date: 2012-11-26 10:37:35 (UTC+8)
    Abstract: This paper proposes four methods by which to sample option prices using proxies for liquidity—1-, 2-, 3-, 7-, and 8-day rollover rules—for option trades in order to construct volatility index series. Based on the sampling method using the average of all midpoints of bid and ask quote option prices, the volatility indices constructed by one-minute tick data have less missing data and are at least as efficient in volatility forecasting as the method suggested by the CBOE. In addition, based on different rollover rules, illiquidity in Taiwan's options market does not lead to substantial errors in the forecasting effectiveness of the volatility indices. Finally, the forecasting ability of VIX based on different sampling methods is found to be superior to that of VXO in Taiwan.
    Relation: International review of economics and finance
    Appears in Collections:[財務金融學系] 期刊論文

    Files in This Item:

    File Description SizeFormat

    All items in ASIAIR are protected by copyright, with all rights reserved.

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback