碩士 / 國立政治大學 / 金融學系 / 106 / In this paper, we attempt to answer three questions: (i) On average, what does the proportion of the stochastic volatility and return jumps account for the total return variations in S&P500 index, respectively? In particular, which one has more influence than the other does on the total return variations? (ii) Is the fitting performance of infinite-activity jump models better than that of finite-activity jump models both in the spot and option markets? (iii) When will investors require significantly higher risk premiums? Specifically, were there signicant changes in volatility risk premiums and in jump risk premiums before, during or after the nancial crisis? For the first question, we find that most of the return variations are explained by the stochastic volatility. In fact, the return jump accounts for the higher percentage than the stochastic volatility at the beginning of financial crisis. To answer the second question, we adopt the expectation-maximization algorithm with the particle filtering algorithm and dynamic joint estimation to obtain the stochastic volatility model with double-exponential jumps and correlated jumps in volatility (SV-DEJ-VCJ) and the stochastic volatility model with normal inverse Gaussian jumps (SV-NIG) fit S&P500 index returns and options well in different criterions, respectively. Finally, for the third question, we observe that both the volatility and jump
risk premiums significantly increase after the financial crisis periods, that is, the panic in the post-crisis period causes more expected returns.
| Identifer | oai:union.ndltd.org:TW/106NCCU5214004 |
| Date | January 2018 |
| Creators | Chung, Chang-Shu, 鍾長恕 |
| Contributors | Lin, Shih-Kuei, 林士貴 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 219 |
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