本研究目的是使用波動率模型來計算台指選擇權的價格，並探討最適合評估台指選擇權價格之波動率模型。本研究使用歷史波動率、GARCH(1,1)、隱含波動率、Vega加權平均隱含波動率以及結合GARCH波動率和Vega加權隱含波動率計等六種波動率模型來估計波動率，再代入Black-Scholes選擇權評價模型計算其理論價格。接著藉由價格誤差衡量指標來衡量理論價格與市場價格之價差大小，最後配合迴歸分析，以找出評估績效表現最佳之波動率模型。實證結果如下：
1.不論是買權或賣權，隱含波動率模型通常比時間序列波動率模型的MAE、RMSE估計誤差值小。
2.以各模型來分析，隱含波動率為較佳的波動性模型，其中合GARCH波動率和Vega加權隱含波動率模型不論在任何組別下，幾乎都是誤差指標值最小的模型，但買權隱含波動率模型表現最差。

The purpose of this study is to estimate option prices by using alternative volatility models to find out which volatility model is the most suitable for evaluating the TXO. In this paper six models are used to estimate the volatility and the estimated value are incorporated into the Black-Scholes option pricing model to calculate the theoretical prices. Furthermore, the difference between the theoretical price and market price is calculated using the statistical error measures to find the optimum volatility model. The results show that (1) No matter call option or put option, the estimated statistical error of implied volatility model is smaller than time series volatility. (2) For all models, implied volatility is the better volatility model, above all, VGIV is the best model, but the implied volatility of call option is the worst model.

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