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1、Contents1Introduction????．?????．．?????．．?????．．?????．11．1BackgroundandMotivation．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．11．2MethodsandChiefConclusions．?．?．?????????．?．?．?．???21．3ContributionsandLimitations????????????????????2】【．4Organization．．．．．．．．．．．．．．．．．．．．?．．．．
2、．．．．．．．．．．．．．．．．．．?．．．?．．．．．．．．．．．．．．．．．?．．．．．．．．．．．．．．32LiteratureReview．．．．．．．．．??．?．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．42．1VolatilityStaticModel????．???．??．??．?．?．?．?．??．?．．?．?42．1．1ModelImpliedVolatility?????????????????????．．42．1．2Model—FreeImpliedVolatility????????????
3、???????62．2VolatilityDynamicModel．?．???．???．?．?????．??．．?．?．?．．．62．2．1TimeSeriesModels????????????????????????72．2．2StochasticVolatilityModels???????????????????．．82．3DomesticResearchSituation??．???．????．????????．?．．．103AnalysistheTermStructureStaticsofVariance．．．．．．．．．．．．．．．．．．．．113．1Model
4、Specification．??????．??????????．??．????．?．113．2ExtractiontheTermStructureofForwardVariance?????．??．123．3PredictedAbilityofForwardVariance．?．???．????．??．?．?．．．153．3．1StationarityTest?????????????????????????153．3．2EmpiricalAnalysis???????????????????????．．164AnalysistheTermStructureDynamicso
5、fVariance．．．．．．．．．?．．．214．1ModelSpecificationandEstimationMethod．．．．．．．．．．．．?．．．．．．．．．．．．．．．?．．．214．1．1ModelSpecification???????????????????????．214．1．2KalmanFilteringEstimation???????????????????224．2ExtractiontheTermStructureDynamicsofVariance???????254．3RobustnessTest．．．．．．．．．．．．．．?．．．．．
6、．．．．．．．．．．．．．?．．．?．．．?．．．．．．．，．．．．．．．．．．．．．．．．．．．．．．．30SConclusionandFurtherResearch．．．．，，．．．．．．．．．．．．．．．．，．．．．．．．．．．．．．．．．，，．．335．1Conclusion??．??????．．??????．．??????．???????．．335．2FurtherResearch????，??。??????．???．???．??????．33Appendix．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．
7、．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．35References．．．．．．．．，，，．．．．．．．．．．．．．．．，，，．．．．．．．．．．．．．．．，，，．．．．．．．．．．．．．．，．，，．．．．．．．．．．．．．，，，，．．36Acknowledgements．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．．42l導論1．1選題背景及意義1導論著名的BS期權定價模型假設波動率是一個常
