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Trolle(2008)指出,商品市场风险分为可以由期货对冲的风险和不可以由期货而由期权来对冲的风险,对应地也就将市场的波动划分为可生成的波动和不可生成的波动。在检验不可生成的波动的存在性时,依据USV(Unspanned Stochastic Volatility,可生成随机波动率)模型,以Trolle(2008)设定的研究框架来进行实证分析,通过COMEX黄金、NYMEX原油以及使用不同于文献记录的市场风险代理变量表示方式计算的上海期货交易所阴极铜的建模结果,发现国内外市场均存在不可生成的波动,USV特征的存在性也为中国市场推出期权提供了理论支持。
Trolle (2008) points out that commodity market risk is divided into risks that can be hedged by futures and risks that can not be hedged by options on futures, and correspondingly, the market volatility is divided into generateable volatility and unviable volatility. In examining the existence of unmanageable volatility, an empirical analysis based on the Unsurvivochastic Stochastic Volatility (USV) model was conducted using the framework set by Trolle (2008), using COMEX gold, NYMEX crude oil, Based on the modeling results of copper cathode in Shanghai Futures Exchange calculated by the literature representation of market risk proxy variables, we find that there are unchangeable fluctuations in domestic and foreign markets. The existence of USV features also provides theoretical support for the introduction of options in the Chinese market.