本研究利用三種不同的波動性估計式(歷史波動性估計式、Garman-Klass 模式、高/低價模式)來研究台灣四種股票指數期貨價格波動性與成交量、未平倉量(市場深度)之關係。為了解預期與未預期交易活動對波動性的影響，本研究進一步將交易量與未平倉量分成預期與未預期兩部分進行分析。實證研究發現，未預期交易活動對波動性的影響較預期交易活動為大。在成交量對波動性的不對稱實證裡我們發現臺股小指期具有不對稱效果，然一般而言，正向對波動性的衝擊較負向為大。我們亦發現，未平倉量能降低價格波動性，但其不對稱效果隨波動估計式的不同而有所改變。最後我們發現，Garman-Klass 模式與高/低價模式之配適度約高出歷史波動性估計式一倍左右。

This paper employs three volatility estimators (historical volatility estimator, Garman-Klass model and High-Low model) to investigate the relations between volatility, volume, and open interest (market depth) in Taiwan for stock index futures. In this study, we partition the trading activities into expected and unexpected components. Evidence suggests that unexpected volume shocks have a large effect on volatility. Further, the relation in Mini-TAIEX futures is asymmetric; on average, the impact of positive unexpected volume shocks on volatility is larger than the impact of negative shocks. Consistent with theories of market depth, this paper shows that large open interest mitigates volatility. However, the asymmetric relation varies among different volatility estimators. Finally, the fitness of Garman-Klass model and High-Low model estimators are twice efficient than historical volatility estimator.

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