The paper selects daily trade close price date of China petroleum stock from 2010-01-15 to 2011-01-17 to construct GARCH model of the volatility of the stock log-return.By means of Eviews software,we estimate parameters and then obtain the volatility equation.Then we forecast the volatility,and obtain the European call option price and the calculation of VaR based on volatility forecast of GARCH model.%以中国石油(601857)股票2010年1月15日至2011年1月17日交易日收盘价格的实际数据为样本,建立了股票对数收益率波动率的GARCH模型,利用Eviews软件进行参数估计得到波动率的方程,并对波动率进行预测,从而得到基于GARCH模型预测波动率的欧式看涨期权的价格和风险值VaR的计算。
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