我們參考Bali et al. (2015)方法，使用VIX選擇權估計隱含風險值，並探討與變異數風險溢酬之間的關係。結果顯示在樣本內、樣本外，選擇權隱含風險值可用來預測變異數風險溢酬的變化。當選擇權隱含風險值越高(低)，未來變異數風險溢酬將增加(減少)。這項結果在使用不同到期日選擇權估計之風險值，以及未來不同時間段下變異數風險溢酬變化，都具有相似的測試結果，且時間越長，效果越佳。

We follow the methodology of Bali et al. (2015) to obtain the VIX option-implied riskiness and investigates whether it affects variance risk premium. First, our results show that VIX option-implied riskiness can predict positively changes in the variance risk premium regardless to in-sample or out-of-sample evidence. When the riskiness is high (low), the future variance risk premium will increase (decrease). Moreover, our results remain when we use options with different maturities. Furthermore, we find that the longer the time, the more significant the effect.

論文審定書 i
誌謝 ii
摘要 iii
英文摘要 iv
目錄 v
圖次 vi
表次 vii
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的與架構 2
第二章 文獻探討與假說 3
第一節 文獻回顧 3
第二節 假說發展 5
第三章 資料與研究方法 6
第一節 資料來源 6
第二節 選擇權隱含風險值 8
第三節 變異數風險溢酬 9
第四節 迴歸模型 10
第四章 實證結果 12
第一節 敘述統計與相關性分析 12
第二節 預測變異數風險溢酬效果分析 18
第三節 穩健性測試 22
第五章 結論與建議 25
第一節 研究結論 25
第二節 研究限制與建議 26
參考文獻 27

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