基于GARCH类模型的权证时变VaR值估计

Estimation of Time-varying VaR of Warrants based on GARCH-type Model

由于权证收益率分布具有尖峰厚尾和非对称性的特征,其市场风险的估算运用GARCH类模型比较合适。本文选取包钢JTB1的日收盘价格序列为样本,分别用EGARCH、TGARCH模型估计样本期间内日VaR值,并进行了比较。结果表明,EGARCH模型较好地预测了损失结果,而TGARCH模型则低估了风险。因此,基于EGARCH模型对VaR值的计算能更好地反映权证收益率的波动特征和准确预计损失,可以为权证的风险管理提供较为可靠的风险度量工具。

Because the yield distribution of warrants has the characteristics of peak and fat-tail, the estimation of warrant market risk used to apply GARCH-type models. Based on the use of EGARCH and TGARCH models, this paper estimates the daily VaR of BaoGangJTB1 samples and makes a comparison between them, with selecting the daily closing price series. The conclusion is that EGARCH model predicts loss better than TGARCH model, and TGARCH model underestimates risk. So the calculation of VaR based on EGARCH model is more reasonable and accurate, and it could be a reliable tool to measure risk for warrants market risk management.