本文選題：波動率指數(shù)　切入點(diǎn)：GARCH模型　出處：《云南財經(jīng)大學(xué)》2013年碩士論文

【摘要】：波動率是用于衡量風(fēng)險的概念，廣泛應(yīng)用于資產(chǎn)定價、風(fēng)險管理等領(lǐng)域，其被定義為一段時期內(nèi)收益率的標(biāo)準(zhǔn)差，投資者可以通過根據(jù)市場的波動率來制定自己的投資決策。當(dāng)前世界上衡量市場波動率水平最常用的是波動率指數(shù)，世界上第一個波動率指數(shù)是由1993年芝加哥期權(quán)交易所推出的VIX指數(shù)，發(fā)展至今已成為衡量美國股票市場波動性的基準(zhǔn)指標(biāo)，目前世界上許多國家也推出了波動率指數(shù)。目前公認(rèn)在美國市場上，VIX指數(shù)有三大功能：一是衡量市場風(fēng)險；二是作為投資者恐慌指數(shù)；三是預(yù)測股市走勢的領(lǐng)先指標(biāo)。同時投資者還可以運(yùn)用VIX指數(shù)期貨和VIX指數(shù)期權(quán)等衍生品進(jìn)行風(fēng)險管理和資產(chǎn)配置。 波動率的預(yù)測有歷史波動率法和隱含波動率兩種方法，美國的波動率指數(shù)是按照隱含波動率的方法來編制的，這與其證券市場上成熟的期權(quán)交易背景有關(guān)，但我國當(dāng)前的市場上尚無期權(quán)交易，權(quán)證現(xiàn)在也退出了交易市場，剩下含有期權(quán)性質(zhì)的金融工具只有可轉(zhuǎn)債，但其市場定價往往背離其理論價格。于是本文選擇歷史波動率法來編制滬深300指數(shù)的波動率指數(shù)。歷史波動率法就是利用過去的信息總結(jié)出規(guī)律，然后來預(yù)測未來。本文選用了最常用的GARCH（1,1）模型來預(yù)測波動率，，然后編制從2006年1月4日到2013年3月4日滬深300指數(shù)的波動率指數(shù)，通過分析我們發(fā)現(xiàn)：首先，波動率指數(shù)作為衡量市場風(fēng)險的指標(biāo)，對同期股票市場的走勢有一定的解釋能力，但與美國的波動率指數(shù)不同的是，我國的波動率指數(shù)與股市之間并非呈反向趨勢，此外在分析中發(fā)現(xiàn)2010年下半年以后市場整體的波動性水平有所下降，這說明我國建立做空機(jī)制這一政策的有效性；其次參照CBOE的分析方法，分析發(fā)現(xiàn)當(dāng)預(yù)測波動率較當(dāng)日出現(xiàn)大幅上漲時，下一個交易日股市通常會大幅波動，其中出現(xiàn)下跌的概率更大，因而波動率指數(shù)也可以作為我國的“投資者恐慌指數(shù)”；最后，通過觀察2006年以來的牛市見頂和熊市見底階段波動率指數(shù)的走勢，發(fā)現(xiàn)波動率指數(shù)在分析牛市見頂和熊市見底時有一定的參考意義。文章的最后基于研究結(jié)論提出相應(yīng)的政策建議：第一，研究推出波動率指數(shù)，有助于投資者制定決策；第二，健全融資融券制度，建立更為完善的賣空機(jī)制；第三，適時推出股票期權(quán)等衍生產(chǎn)品，提升金融市場的運(yùn)行效率，同時是利用隱含波動率編制波動率指數(shù)的前提；第三是加強(qiáng)投資者教育，讓波動率指數(shù)成為投資者衡量市場風(fēng)險的參考，更好發(fā)揮投資者監(jiān)管的作用。
[Abstract]:Volatility is a concept used to measure risk, which is widely used in asset pricing, risk management and other fields. It is defined as the standard deviation of yield over a period of time. Investors can make their own investment decisions according to the volatility of the market.At present, the most common measure of market volatility level in the world is the volatility index. The first volatility index in the world is the VIX index launched by the Chicago options Exchange in 1993.Up to now, it has become the benchmark to measure the volatility of the U.S. stock market. At present, many countries in the world have also introduced the volatility index.It is now accepted that the VIX index has three main functions in the U.S. market: measuring market risk, acting as an index of investor panic, and forecasting leading indicators of stock market movements.Investors can also use derivatives such as VIX index futures and VIX index options for risk management and asset allocation.There are two methods to predict volatility: historical volatility method and implied volatility method. The volatility index of the United States is compiled according to the implicit volatility method, which is related to the mature background of option trading in its securities market.However, there is no option trading in the current market in our country, and the warrants have now withdrawn from the trading market, leaving only convertible bonds as the financial instruments with the nature of options, but the market pricing often deviates from its theoretical price.So this paper chooses the method of historical volatility to compile the volatility index of Shanghai and Shenzhen 300 index.Historical volatility method is to use the past information to sum up the rules and then predict the future.In this paper, we choose the most commonly used GARCH1) model to predict volatility, and then compile the volatility index of CSI 300 from January 4, 2006 to March 4, 2013. Through the analysis, we find that: first,Volatility index, as a measure of market risk, has a certain ability to explain the trend of stock market in the same period. However, unlike the volatility index of the United States, the volatility index and stock market in China do not show a reverse trend.In addition, it is found that the volatility level of the market as a whole has decreased after the second half of 2010, which shows the effectiveness of the policy of establishing a short selling mechanism in China. Secondly, referring to the analysis method of CBOE,The analysis shows that when the forecast volatility is higher than that of the same day, the stock market usually fluctuates sharply in the next trading day, and the probability of falling is higher. Therefore, the volatility index can also be used as the "investor panic index" in our country.By observing the trend of volatility index in bull market and bear market since 2006, it is found that volatility index has a certain reference significance in analyzing bull market peak and bear market bottom.Finally, based on the conclusions of the paper, the corresponding policy recommendations are put forward: first, research on the introduction of volatility index to help investors make decisions; second, improve the margin financing system, establish a more perfect short selling mechanism; third,Timely introduction of derivative products such as stock options to improve the operational efficiency of the financial market, at the same time is the use of implied volatility to compile volatility index premise; third, strengthen investor education,Let volatility index as a reference for investors to measure market risk, better play the role of investor regulation.
【學(xué)位授予單位】：云南財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51;F224

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