默顿(1976)隐含跳跃

IF 1.8 3区 经济学 Q2 ECONOMICS
Journal of Economic Dynamics & Control Pub Date : 2025-11-01 Epub Date: 2025-10-15 DOI:10.1016/j.jedc.2025.105199
Junhong Yu , Xinfeng Ruan , Zheqi Fan
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引用次数: 0

摘要

由于Black-Scholes-Merton (BSM)模型中隐含波动率的广泛使用,我们使用默顿跳跃-扩散(MJD)模型将隐含波动率的概念转换为隐含跳跃,旨在以类似的方式提取跳跃相关信息。这种新颖的尝试给估计过程带来了挑战,因此,我们提出了一种混合估计过程,该过程包含预搜索步骤,以识别模型参数的可靠初始值,从而提高估计精度。利用期权价格的日横截面,我们构建了两个新的指标:隐含跳跃期望指数(JIX)和跳跃波动指数(JVIX)来表示隐含跳跃。我们的实证结果表明,与VIX9D和HAR模型的历史成分相比,MJD模型下的隐含跳跃和隐含扩散风险对近期实现波动率的预测能力显著增加。此外,我们还证明,即使在市场极端事件或经济高度不确定性的情况下,JIX对第二天的市场回报也具有显著的预测能力。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Merton (1976) implied jump
Motivated by the widespread use of implied volatility in the Black-Scholes-Merton (BSM) model, we shift the concept to implied jumps using the Merton jump-diffusion (MJD) model, aiming to extract jump-related information in an analogous manner. Such a novel attempt introduces challenges in the estimation process, and thus, we propose a hybrid estimation procedure that incorporates a pre-search step to identify reliable initial values for the model parameters, thereby enhancing estimation accuracy. Using the daily cross-section of option prices, we construct two new indices: the Implied Jump Expectation Index (JIX) and the Jump Volatility Index (JVIX) to represent implied jump. Our empirical results indicate the implied jump combined with the implied diffusive risk under the MJD model significantly provides incremental predictive power for shortly future realized volatility compared with VIX9D and the historical components of HAR models. Also, we document that JIX has significantly predictive power for the next-day market return even under the market extreme events or high economic uncertainty.
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来源期刊
CiteScore
3.10
自引率
10.50%
发文量
199
期刊介绍: The journal provides an outlet for publication of research concerning all theoretical and empirical aspects of economic dynamics and control as well as the development and use of computational methods in economics and finance. Contributions regarding computational methods may include, but are not restricted to, artificial intelligence, databases, decision support systems, genetic algorithms, modelling languages, neural networks, numerical algorithms for optimization, control and equilibria, parallel computing and qualitative reasoning.
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