The Selection of Explanatory variables for Implied Volatilities of Taiwan Stock Index Options

[[abstract]]許多文獻對於選擇權的隱含波動率有很多的研究與探討，本篇論文著重於台指選擇權隱含波動率解釋與實證，運用了三個不同的解釋變數建構迴歸模型進行實證。本文從三種模型中找出最足以解釋波動率微笑現象的解釋變數，得到了以下結論： 1 台指選擇權市場確實存在著到期效果，越靠近到期日，選擇權越容易出現不合理的價格波動。而去除到期效果後，三種隱含波動率模型的解釋能力均會提升。 2 對台指選擇權來說，傳統價性指標(K/F)與價性指標取自然對數(LN(K/F))對隱含波動率微笑現象的解釋能力較佳。而Delta模型的解釋能力最低。[[abstract]]There are a lot of studies about index option’s implied volatility In this paper we focus on Taiwan stock index option and emphasize on explanatory power on Taiwan stock index option’s implied volatility We use three different independent variables to construct three regression models that are adopted in our empirical studies We try to find the best explanatory variable of three independent variables for Taiwan stock index option’s implied volatility We conclude： 1 Maturity effect exactly exists in Taiwan stock index option market As times get more close to expiration day of option contract the price of option will easier appear unexpected price volatility When get rid of maturity effect of option the explanatory power of regression model will rise 2 The variable K/F and another variable LN(K/F) have better explanatory power to explain volatility smile effect of Taiwan stock index option Furthermore the model 3 has the lowest explanatory power about volatility smile effec