基于STFIGARCH模型的权证定价研究

为了更好地研究权证市场,基于FIGARCH与STGARCH模型,提出一种新的GARCH族模型———STFIGARCH模型.首先,对所选取的两支个股收益率序列进行ARCH效应检验与长记忆的R/S检验,并建立FIGARCH模型与STFIGARCH模型进行比较研究,结果显示波动的长记忆性和非对称性是共存的.接着,在波动性分析的基础上,建立了FIGARCH期权定价模型(FIGARCH-M)与STFIGARCH期权定价模型(STFIGARCH-M).研究表明:STFIGARCH-M定价结果较好;权证市场在权证发行初期偏向于被高估,随着行权日越临近,权证价格也逐步回归模型的理论价格.

Option Pricing Based on STFIGARCH Model

Based on FIGARCH and STGARCH model,a new kind of asymmetric GARCH family model,called STFIGARCH,was introduced to study the warrants market.First of all,the autoregressive conditional heteroskedasticity (ARCH) effect and the long memory rescaled range (R/S) of two stocks' daily return series were tested.A fractionally integrated GARCH (FIGARCH) model and a smooth transition FIGARCH (STFIGARCH) model were established and the estimatioins by these two models were compared and analysed.The results show that there may co-exist both long memory and smooth transition type nonlinearities.Then,the FIGARCH and STFIGARCH option pricing model were established.The empirical results show that the STFIGARCH option pricing model is better than the FIGARCH option pricing model.However,the warrants market tends to be overestimated in the early warrants duration,and with the date of exercise being closer,the price of the Warrants get closer to the theoretical price of model.