基于GARCH模型证券公司股票质押率研究

Research on Stock Pledge Rate of Securities Company Based on GARCH Model

摘要: 近年来，中小企业融资难问题越发突出明显，为解决此严重现象，证劵公司等金融机构开始对企业进行授信，办理存货质押融资业务，而在此业务中，控制风险的最重要手段则是质押率的设定。依据国家最新颁发《股票质押式回购交易及登记结算业务办法》，证券公司应考虑各方因素确定并浮动调整质押率上下限，并在文中强制规定股票质押率上限最高为60%。本文以X证券公司的数据为例，探讨其设定的质押率是否能有效避免因为股票价格波动而导致的风险。同时学术界多采用VAR方法对风险进行测度，本文同样应用这种方法。运用GARCH模型拟合股票收益率，得出得到三个月、六个月、一年的理论VAR以及质押率。

Abstract: In recent years, the financing difficulty of small and medium-sized enterprises has become more and more prominent. In order to solve this serious problem, financial institutions such as securi-ties companies began to extend credit to enterprises and handle inventory pledge financing business. In this business, the most important means to control risk is the setting of pledge rate. According to the latest measures for stock pledged repo and registration and settlement issued by the state, securities companies shall determine and adjust the upper and lower limits of the pledge rate of the subject matter in consideration of various factors, and stipulate the upper limit of the stock pledge rate as 60% in the paper. Taking the data of X security company as an example, this paper discusses whether the set pledge rate can effectively avoid the risk caused by the fluctuation of stock price. At the same time, VaR method is often used to measure the risk in academic circles. This paper also applies this method. Using GARCH model to fit the stock return, we get the theoretical VaR and pledge rate of three months, six months and one year.