| 我国人寿保险公司经营绩效的DEA有效性分析 |
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| 引用本文： | 蒋才芳,陈收.我国人寿保险公司经营绩效的DEA有效性分析[J].湖南农业大学学报(自然科学版),2014(4):27-32. |
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| 作者姓名： | 蒋才芳 陈收 |
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| 作者单位： | （上海海事大学 经济与管理学院，上海 201306） |
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| 摘 要： | 基于ARMA-GARCH模型，并结合均值回归效应，溢出效应和周内效应，本文研究了恒指隐含波动率指数(VHSI)能否被预测及预测是否有助于期权投资实践的问题.研究结果验证了香港股市具有均值回归的特性，标准普尔500指数对恒指隐含波动率指数有明显的溢出效应.此外，恒指隐含波动率指数呈现出周一上涨，周五下跌的特征，具有明显的周内效应.最后，本文运用ARMA-GARCH模型对恒指隐含波动率指数进行预测，并结合实际的市场数据做了期权交易模拟.结果显示，ARMA-GARCH模型比ARMA模型更适合对恒指隐含波动率进行建模；考虑了均值回归效应，溢出效应和周内效应之后，ARMA-GARCH模型对恒指隐含波动率指数的预测能力显著提高，并且预测结果有助于期权交易获得较好的收益.
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| 关 键 词： | 隐含波动率指数，ARMA-GARCH，均值回归效应，溢出效应，周内效应 |
Efficiency Analysis of DEA on Life Insurance Companies' Performance |
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| JIANG Cai-fang,CHEN Shou.Efficiency Analysis of DEA on Life Insurance Companies'' Performance[J].Journal of Hunan Agricultural University,2014(4):27-32. |
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| Authors: | JIANG Cai-fang CHEN Shou |
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| Institution: | (School of Economics and Management, Shanghai Maritime University, Shanghai 201306,China) |
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| Abstract: | This paper investigated whether the implied volatility index can be predicted with mean-reversion, spillover effect and day-of-week effect by using ARMA-GARCH model. The results show that Hong Kong Stock market is mean-reversion and S&P 500 index shows significant spillover effect to VHSI. Refer to the day-of-week effect, Hang Seng implied volatility Index (VHSI) tends to rise on Mondays and decline on Fridays. Finally, this research explores whether the prediction of implied volatility can provide additional value to practitioners and retail investors alike. The result suggests that option trading based on volatility prediction is practical for option traders. |
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| Keywords: | implied volatility index ARMA-GARCH mean-reversion spillover effect day-of-week effect |
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