波动率偏斜与风险中性偏度能预测尾部风险吗  

Can implied volatility skew or risk-neutral skewness predict tail risk?

作　　者：陈蓉[1] 林秀雀 

机构地区：[1]厦门大学金融系,厦门361005

出　　处：《管理科学学报》2016年第8期113-126,共14页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(71471155;71371161);国家自然科学青年基金资助项目(71101121)

摘　　要：论文从S&P 500指数期权数据中提取出波动率偏斜与风险中性偏度指标,采用Logistic模型研究了波动率偏斜/风险中性偏度是否对未来真实的市场尾部风险具有预测力.结果发现,波动率偏斜/风险中性偏度仅含有未来市场尾部风险的一定信息,但并不能准确预测未来市场尾部风险发生的状态.相反,波动率偏斜/风险中性偏度与投资者情绪指标显著相关.The paper extracts the implied volatility skew and the risk-neutral skewness from the S＆P500 index option data and uses the logistic model to explore whether the volatility skew and the risk-neutral skewness are good estimators of future tail risk. The results show that both contain some information about future tail risk but cannot predict it accurately. Instead, the volatility skew and the risk-neutral skewness are both significantly correlated with investor sentiments.

关 键 词：波动率偏斜 风险中性偏度 市场尾部风险 投资者情绪 

分 类 号：F832.51[经济管理—金融学]