权证收益率波动的度量:基于GARCH和SV模型的比较  

Measuring Effect of Warrant Return Volatility:A Comparative Study Based on GARCH and SV Model

作　　者：周竟东[1] 谢赤[1,2] 欧辉生[1] 赵亦军[1] 

机构地区：[1]湖南大学工商管理学院,湖南长沙410082 [2]湖南大学金融与投资管理研究中心,湖南长沙410082

出　　处：《系统工程》2010年第4期1-8,共8页Systems Engineering

基　　金：国家社会科学基金重点资助项目(07AJL005);教育部博士点专项科研基金资助项目(20070532091);教育部人文社会科学规划项目(09YJC630063)

摘　　要：分别采用GARCH模型和SV模型对权证收益率波动进行比较研究,发现这两类模型均能较好地拟合权证收益率的波动,但SV模型比GARCH模型更能捕捉权证收益率的波动信息。在权证总持续期间,通过SV模型计算的V aR值比GARCH模型更加准确;而在权证发行上市时期及最后交易日期间,通过GARCH模型计算的V aR值比SV模型更加准确。In this paper,GARCH model and SV model are utilized to explore the volatility characteristics of warrants return comparatively,the results demonstrate that both GARCH and SV model can well describe the volatility of warrant return,but SV is better than GARCH in capturing volatility information of warrant return.The study also finds that in the total duration of the warrants,VaR calculated by SV model is more accurate than GARCH model;but in the beginning of issuing period and the expiration period,VaR calculated by GARCH model is superior to SV model.

关 键 词：权证 收益率波动 GARCH模型 SV模型 

分 类 号：F830[经济管理—金融学]