논문KCI 등재
Heston(1993) 모형을 이용한 옵션 내재변동성의 미래 변동성 예측
Forecasting Future Volatility of Option Prices Using Heston(1993)’s Model
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초록
본 논문에서는 KOSPI 200 옵션 시장으로부터 도출된 내재변동성과 기초 자산의 과거 자료를 이용한 역사적 변동성을 이용하여 KOSPI 200 지수의 미래 실현변동성에 대한 예측력을 검증한다. 옵션 시장의 내재변동성을 추정하기 위하여 확률 변동성을 고려한 Heston(1993) 모형과 Black-Scholes(1973) 모형을 이용하였고 미래 실현변동성과 역사적 변동성 추정을 위하여 KOSPI 200 지수의 5분 간격 고빈도 자료를 이용하였다. 연구 결과 Heston(1993) 모형으로부터 추정한 옵션 내재변동성은 미래 실현변동성에 대하여 가장 우수한 예측력을 보여주었다. 또한 미래 실현변동성에 대하여 불편 추정치를 제공하였고 고빈도 자료를 이용한 역사적 변동성 뿐 아니라 Black-Scholes(1973) 모형으로부터 추정된 내재변동성의 예측 정보를 모두 담고 있는 정보 효율성을 지닌 예측치를 제공함을 알 수 있다.
Abstract
In this paper, we examine the forecasting performance of the implied volatility of KOSPI 200 option prices for future realized volatility. We use both Heston(1993)’s model, which takes the stochastic volatility into account, and the Black-Scholes(1973) model to estimate the implied volatility. For the calculation of future realized volatility and historical volatility, we use 5-minute interval intraday data of the underlying asset. The results show that the implied volatility obtained from Heston(1993)’s model is the most effective, unbiased and efficient estimator for future realized volatility.
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