光伏发电投资决策的实证分析——基于ARMA-GARCH模型修正后的动态规划法

摘要

运用可靠方法评估项目的最优临界值和最大机会价值是光伏发电投资决策面临的关键问题.本研究选取了与某光伏企业发电投资项目价值“孪生”的一只股票的836个日收盘价格(从2012年1月4日至2015年6月24日)建立波动率预测模型,并在此基础上修正了该项目投资决策的动态规划法.然后给出了该投资的最优临界值、最大机会价值以及不同波动率下的这两个值的变化趋势.研究表明:该“孪生”股票价格的条件异方差使得最优临界值和最大机会价值对波动率的敏感程度不同——当波动率增大时,上述两个值虽然都增加,但增加的程度不同;当波动率增大到一定程度时,这两个值增加的程度都明显提高.因此,将波动率纳入光伏发电投资决策分析中有助于提高决策质量,减少企业损失.%The key problem for photovoltaic investment decisions is whether there is a reliable method that can be applied to assess the optimal critical value and the maximum opportunity value.This study choses 836 day closing prices (from January 4,2012 to June 24,2015) of a stock,which has a "twinborn" relationship with the value of photovoltaic investment program,to establish a volatility forecasting model.On this basis,this paper revises the dynamic programming method of the investment decision-making.Then,the optimal critical value,the maximum opportunity value and the trend of these two values under the different volatility are given.This research shows that:as a result of the conditional heteroscedasticity of the "twinborn" stock price,the optimal critical value and the biggest opportunity value have different sensitivity for different volatility—When the volatility increases,these two values increase,but the increasing extent are different;When the volatility reaches a certain value,the increasing extent of the two values are obviously improved.Therefore,the analysis of the volatility helps to improve the quality of decision-making,and reduce the loss of the enterprises.