tag:blogger.com,1999:blog-8431179404733141282.post594467689252854995..comments2022-12-04T10:54:03.538-08:00Comments on USA Stock: VIX短期與中期期貨特性分析李柏鋒http://www.blogger.com/profile/16018804247776609001noreply@blogger.comBlogger4125tag:blogger.com,1999:blog-8431179404733141282.post-24821753266530164872010-09-12T18:59:40.216-07:002010-09-12T18:59:40.216-07:00謝謝Jack,已修改。謝謝Jack,已修改。李柏鋒https://www.blogger.com/profile/16018804247776609001noreply@blogger.comtag:blogger.com,1999:blog-8431179404733141282.post-31267340433983465492010-09-12T18:26:33.401-07:002010-09-12T18:26:33.401-07:00中段有一字筆誤:
也可以解釋為什麼平常狀態不應該持有VXZ,因為正價差情況很明顯。
是否應為VXX中段有一字筆誤:<br />也可以解釋為什麼平常狀態不應該持有VXZ,因為正價差情況很明顯。<br />是否應為VXXJackhttps://www.blogger.com/profile/16381822438859931100noreply@blogger.comtag:blogger.com,1999:blog-8431179404733141282.post-56517499052674139062010-09-12T05:01:00.472-07:002010-09-12T05:01:00.472-07:00從遠期期貨就可以看得出來波動回復性,當波動小的時候遠期期貨會預期未來有較高的波動,而當波動高的時候遠...從遠期期貨就可以看得出來波動回復性,當波動小的時候遠期期貨會預期未來有較高的波動,而當波動高的時候遠期貨又會預期未來有較低的波動。李柏鋒https://www.blogger.com/profile/16018804247776609001noreply@blogger.comtag:blogger.com,1999:blog-8431179404733141282.post-70711420516601473132010-09-11T18:30:52.362-07:002010-09-11T18:30:52.362-07:00這篇文章大部分的觀念都可以用volatility具有mean-reversion的現象來說明, 難怪...這篇文章大部分的觀念都可以用volatility具有mean-reversion的現象來說明, 難怪財務學家非常喜歡用GARCH(1,1)模型, 因為GARCH(1,1)本身就是具有波動度回復長期平均值的特性.Anonymoushttps://www.blogger.com/profile/15773091257624216524noreply@blogger.com