本研究取至民國89年以到期之21支認購權證為研究對象,探討股票型認購權證之預測能力及其波動度,其中,包括6檔以電子股為標的的權證,6檔以傳統類股股為標的的權證,7檔組合型權證,以及2檔障礙型認購權證。本研究利用隱含波動度、GARCH(1,1)、EGARCH(1,1)、及歷史波動度四種方法,來估計權證標的股的波動度。分別將計算出來的波動度、履約價格、標的股價、到期日、無風險利率帶入到B-S模型,再將權證分為組合型權證、上限型權證,以電子類股為標的的權證,傳統類股為標的的權證加以分類,分別比較其價格的誤差。並利用三種價格誤差的指標,平均絕對誤差(MAE)、平方誤差方根之平均值(RMSE)、平均誤差百分比(MPE),來比較理論價格與市場價格的差異。 實證發現,不論使用MAE、MPE、或RMSE間任何一種指標,以隱含波動方法所計算出來的價格誤差皆是最小,但使利用歷史波動度計算出來的價格誤差皆是四者最大者,此外就GARCH波動度方法,普遍而言,其價格誤差亦小於EGARCH波動度。兩母體平均數差配對樣本的統計模型,比較在不同波動度方法下,理論價格與市場價格的誤差,隱含波動率的定價誤差與GARCH(1,1)模型、EGARCH(1,1)模型及歷史波動度方法有顯著差異,而GARCH(1,1)模型、EGARCH(1,1)模型及歷史波動度模型,在理論價格與市場價格的誤差,並未明顯的不同。 實證發現,以電子股為標的的權證與以傳統類股為標的的權證,在定價的誤差上有程度上的不同,在組合型權證方面,卻有市價低於理論價格的現象發生,在障礙型權證上,市價與理論價有某種程度上的差距。
Abstract Since volatility forecasting is very important to derivative pricing, hedging ,and risk management, this study empirically examines the forecasting ability of warrant pricing models on Taiwan’ covered warrants. Pricing biases related to warrant strike price ,time to maturity ,volatility ,and interest rate differential will be considered. This work also compares the forecasting performance of a variety methods on Taiwan exotic covered warrants. This investigation uses four methods to compare the accuracy of forecasting ability are implied volatility, historic volatility, GARCH and EGARCH model. This study finds that the implied volatility method and GARCH model significantly reduce the model mispricing. Other findings as follows: 1.Whether implied volatility, historic volatility GARCH or EGARCH model, this work finds that implied volatility is the best model, and historic volatility method’s mispricing is the greatest. 2.In general, the market price of mixed warrants is lower than the intrinsic value and the pricing error of the this work finds that barrier warrant is the four methods.