基于Markov-switching GARCH模型的上证50ETF期权定价分析  

Option Pricing Analysis of SSE 50ETF Based on Markov-switching GARCH Model

作　　者：闫海波 彭凤娇 YAN Haibo;PENG Fengjiao(School of Statistics and Mathematical Sciences,Xinjiang University of Finance and Economics,Urumqi 830012,China)

机构地区：[1]新疆财经大学统计与数据科学学院,新疆乌鲁木齐830012

出　　处：《甘肃科学学报》2023年第1期129-138,共10页Journal of Gansu Sciences

基　　金：国家社会科学基金项目(17BJY235)。

摘　　要：上证50ETF由于其组合资产的对冲,其资产面临的主要是系统风险,通过马尔可夫结构转换GARCH模型(MS-GARCH模型)准确预判上证50ETF波动状态后对其实施风险管理。首先,根据MS-GARCH模型稳态分类方法对上证50ETF波动率划分3个波动区间;其次,将波动率以滚动窗口形式带入Black-Scholes期权定价模型;最后,运用均方误差、对称平均绝对百分比误差等确定最优模型。实证结果表明:拟合和预测期权价格得到MS-GARCH模型优于GARCH模型。通过准确预判上证50ETF波动状态,在高波动状态情行下可以对上证50ETF提前做好风险管理措施,为金融组合资产系统风险管理提供一个很好的参考依据。Due to the hedging of its portfolio assets,the assets of SSE 50ETF are mainly challenged with systematic risks.Risk management is implemented after accurately predicting the fluctuation state of SSE 50ETF through Markov switching GARCH model(MS-GARCH model).According to the steady-state classification method of MS-GARCH model,the volatility of SSE 50ETF is divided into three fluctuation intervals.Then,the volatility is brought into the Black-Scholes Option Pricing Model in the form of rolling window.Finally,the mean square error and symmetrical mean absolute percentage error are used to determine the optimal model.As revealed by the empirical results,the Markov transformation GARCH model is superior to the GARCH model.By accurately predicting the fluctuation state of SSE 50ETF,we can take risk management measures for SSE 50ETF in advance under the condition of high fluctuation state,so as to provide a good reference basis for risk management of financial portfolio asset system.

关 键 词：GARCH模型 马尔可夫结构转换GARCH模型 上证50ETF BLACK-SCHOLES期权定价模型 

分 类 号：F832[经济管理—金融学]