2012年5月芝加哥期權交易所(CBOE)推行新的週選擇權的交易規則：其每週四列出的週選擇權的到期日最多增至五個，這使得新規則下週選擇權的交易變得更為活躍。因此，本文將基於CBOE公佈的原有波動率指數(VIX)的算法，引入週選擇權的數據進行研究。我們首先調查引入週選擇權的波動率指數的期限結構的變化；然後研究該波動率指數和S&P 500指數之間是否會呈現更為明顯的負相關程度；最後探究其對於未來實際波動率的預測能力。本文的實證結果表明該波動率指數的期限結構發生改變；且與S&P 500指數之間的負相關程度以及對於未來實際波動率的預測能力皆有所提高。

In May, 2012, Chicago Board Options Exchange, CBOE, published a new regulatory circular, extending the listings of weekly options. Under this new rule, weekly options trading has become more active than before. Therefore, in this article, we study the volatility index, VIX, with weekly options data based on the published VIX algorithm. We first inspect the change of its term structure. Then, we examine the relation between the S&P 500 index and this VIX. Finally, we investigate its forecasting ability and information content for future realized volatility. Our empirical findings suggest that the VIX calculated with weekly options data is more effective. It contains more information for future realized volatility, and its forecasting ability is also superior.

第一章 緒論 1
第二章 模型 6
第一節 波動率指數模型 6
第二節 實際波動率模型 7
第三章 數據 9
第一節 數據的簡介 9
第二節 週選擇權的數據 10
第四章 實證結果 15
第一節 調查期限結構的變化 15
第二節 研究負相關關係 19
第三節 探究預測能力 20
第五章 穩健性檢驗 27
第一節 變換實際波動率數據頻率 27
第二節 數據時間區間重疊的問題 28
第三節 轉變曲綫擬合的方法 30
第六章 結論 32
參考文獻 33

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