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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。
In this paper, we add the two microstructure factors, the trading volume and the open interest, into the stochastic volatility model. The MCMC method is used to estimate the model parameters, and the VaR and CVaR risk measure values are calculated. The research shows that there are obvious fluctuations and conglomeration phenomenon in Shanghai and Shenzhen stock index futures market; the effect of stochastic volatility is obviously weakened after the transaction volume and open contracts are added; the large transaction volume will aggravate the market volatility, and the open contracts are beneficial to stabilize the market The volume of transactions and the amount of open interest indirectly affect the rate of return only through risk premiums. VaR is insufficient to capture the downside risk; the extended stochastic volatility model outperformed the surging CVaR in the falling CVaR estimate.