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wo guo hu shen 300 gu zhi qi huo shi chang gao pin bo dong yu feng xian yan jiu
Author(s): 
Pages: 44-46
Year: Issue:  8
Journal: China Price

Keyword:  扩展的SV-MT模型MCMC风险度量后验分析;
Abstract: 本文将交易量和未平仓合约量两个微观结构因子加入随机波动模型,以MCMC方法对模型参数进行估计,计算了VaR和CVaR风险测度值。研究发现:我国沪深300股指期货市场存在明显的波动聚集现象;加入交易量和未平仓合约量后随机波动效应明显减弱;大的交易量会加剧市场波动,未平仓合约有利于稳定市场;交易量和未平仓合约量仅通过风险溢价间接影响收益率。VaR在捕捉下跌风险时存在不足;扩展的随机波动模型在下跌CVaR估计中的表现优于上涨CVaR的表现。
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