基于GARCH模型的认购权证与认沽权证波动率比较研究  

A compare research of volatility between call-warrant and put-warrant based on GARCHmodel

作　　者：占超[1] 潘宣辰[2] 

机构地区：[1]中央财经大学金融学院,北京100081 [2]南京审计学院,江苏南京211815

出　　处：《技术经济与管理研究》2008年第3期92-95,共4页Journal of Technical Economics & Management

摘　　要：波动性是经济和金融研究的热点问题。本文分别采用无条件波动度量方法和条件波动模型对我国权证市场上具有代表性的六支权证的波动性进行估计,得出以下几个结果:1、六支权证基本上都存在不同程度的波动聚类现象。2、认沽权证的市场有效性弱于认购权证。3、认购权证的波动持续性大于认沽权证,说明认沽权证投机性更强,风险更大。4、认购权证的风险收益补偿大概是认沽权证的6倍。最后,结合本文研究,将给广大投资者一些投资建议。Volatility is a hotspot in economic and financial studies. In this paper, unconditional volatility estimation and conditional volatility estimation are used to measure the volatility of the six representative warrants in China stock market. And we come to the follow four conclusions： First, all of the warrants have different degrees of clustering of volatility; Second, compare with the call - warrant, the efficiency of the put - warrant is much poor; Third, the duration of the volatility of the call - warrant is the risk is longer than the put- warrant, which means the put - warrant is more risky; Forth, the call - warrant compensation of about six times as much as the put warrant. Finally, based on the research above, we give some suggestions to the investors.

关 键 词：波动性 权证 波动聚类 GARCH类模型 

分 类 号：F830.91[经济管理—金融学]