کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5084064 1477824 2011 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Do liquidity and sampling methods matter in constructing volatility indices? Empirical evidence from Taiwan
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Do liquidity and sampling methods matter in constructing volatility indices? Empirical evidence from Taiwan
چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Economics & Finance - Volume 20, Issue 2, April 2011, Pages 312-324
نویسندگان
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