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本文通过借鉴利率期限结构的分析框架,使用HP滤波和主成分分析方法研究了VIX期限结构的特征。研究发现,规模因子决定了隐含波动率在长期内的走势,斜率因子则决定了其在短期内快速变化的水平。同时,投资者对期限结构的反应表现为对近期未预期到的方差冲击较为敏感,而对长期预期到的冲击较不敏感。利用VAR模型综合分析已实现方差、隐含方差和情绪指标发现,前两者可以显著的影响投资者情绪。
By referring to the analysis framework of term structure of interest rates, this paper studies the characteristics of VIX term structure using HP filter and principal component analysis. The study found that the size factor determines the long-term trend of the implied volatility, and the slope factor determines its rapid change in the short term. At the same time, investors’ reactions to the term structure appear to be sensitive to unexpected unexpected variance shocks and less sensitive to long-expected shocks. The variance analysis, implicit variance analysis and emotional index analysis by VAR model show that the former two can significantly affect investor sentiment.