WISE 2006年春季学期高级经济学系列讲座第二讲
题 目：The Effectiveness of Margin-Setting with Historical, Implied, or Realized Volatility
报告人：Professor SIN, Chor-yiu
School of Business, Hong Kong Baptist University
组织人：洪永淼教授、陈国进教授
主持人： 陈国进教授
时间：2006年3月6日 （星期一） 7:00PM - 9:00PM.
地点：远程报告厅（经济楼D110）
报告人简介：Born in Hong Kong, Professor Sin obtained his bachelor degree from The Chinese University of Hong Kong and his PhD. from University of California, San Diego, U.S.A., both in economics. He wrote his dissertation at UCSD under the supervision of Professor Sir Clive Granger and Professor Halbert White. After he obtained his PhD., he started his career as a lecturer in his home country, where he is now an associate professor at Department of Economics in Hong Kong Baptist University. His fields of interest include econometrics, macroeconomics and financial economics. He publishes in international journals and books such as Advances in Econometrics, Economic Modeling, Economic Record, Journal of Econometrics, Journal of Forecasting and Journal of Futures Market.
摘要：Abstract
In this paper, we investigate the effectiveness of volatility forecast in a risk management
context. We look at a clearinghouse’s margin-setting system, which is primarily
designed to control the risk resulting from members’ defaults. Once the default risk is
judged to be prudential enough, the clearinghouse’s remaining concern is the opportunity
cost of the investors. Such a framework is applied to evaluate the effectiveness of
volatility forecasts based on historical, implied and realized volatility using HSI (Hang
Seng Index) futures and options data. Our results generally support the conclusion that
IV (implied volatility) outperforms the RV (realized volatility) model, which in turn also
outperforms the HV (historical volatility) model.
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