| 权证收益率波动的度量:基于GARCH和SV模型的比较 |
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| 引用本文： | 周竟东,谢赤,欧辉生,赵亦军.权证收益率波动的度量:基于GARCH和SV模型的比较[J].系统工程,2010(4). |
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| 作者姓名： | 周竟东 谢赤 欧辉生 赵亦军 |
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| 作者单位： | 湖南大学工商管理学院;湖南大学金融与投资管理研究中心; |
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| 基金项目： | 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) |
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| 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。
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| 关 键 词： | 权证 收益率波动 GARCH模型 SV模型 |
Measuring Effect of Warrant Return Volatility:A Comparative Study Based on GARCH and SV Model |
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| ZHOU Jing-dong,XIE Chi,OU Hui-sheng,ZHAO Yi-jun.Measuring Effect of Warrant Return Volatility:A Comparative Study Based on GARCH and SV Model[J].Systems Engineering,2010(4). |
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| Authors: | ZHOU Jing-dong XIE Chi OU Hui-sheng ZHAO Yi-jun |
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| Institution: | ZHOU Jing-dong1,XIE Chi1,2,OU Hui-sheng1,ZHAO Yi-jun1(1.College of Business Administration,Hunan University,Changsha 410082,China,2.Center of Finance and Investment Management,China) |
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| Abstract: | 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 calcu... |
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| Keywords: | Warrant Return Volatility GARCH Model SV Model |
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