投資人風險趨避程度與VIX的不對稱關係

The Asymmetric Relation between Time-Varying Risk Aversion and VIX Index

本研究推導出與時俱變的投資人風險趨避程度，並探討其變動是否對VIX的改變量具有不對稱關係。我們以Bollerslev, Gilbson and Zhou在2011年所提出的方法做基礎，藉此得到每日投資人風險趨避程度的估計值。研究結果顯示，投資人風險趨避程度的變動對VIX以及VIX的改變量都具有不對稱效果；但是，當我們以月資料觀察時，不對稱效果顯著性下降，且在加入總體經濟變數後，不對稱效果不復存在，顯然風險趨避程度與經濟環境有所關聯。

This study derives the time-varying risk aversion and examines whether investors’ risk aversion is asymmetric to the level and change of the Chicago Board Options Exchange (CBOE) Market Volatility Index (VIX). The empirical results on a daily basis indicate that risk aversion has an asymmetric relation with VIX level and change, which also holds during the period of financial crisis. However, the relation becomes less significant when the analysis is implemented on a monthly basis and disappears when the influence of macroeconomic variables are considered. Obviously, the formation of risk aversion depends on the economic condition.