基于FIGARCH-EVT模型的上海燃料油期货市场风险度量实证研究  

An Empirical Research on Risk Measurement of Shanghai Fuel Oil Futures Market Based on FIGARCH-EVT Model

作　　者：朱恩文 李偲 李今平 朱安麒 谭薇 Zhu Enwen;Li Cai;Li Jinping;Zhu Anqi;Tan Wei(Changsha University of Science and Technology,School of Mathematics and Statistics,Changsha,Hunan 410114,China;Hainan University,School of Science,Haikou,Hainan 570228,China)

机构地区：[1]长沙理工大学数学与统计学院,湖南长沙410114 [2]海南大学理学院,海南海口570228

出　　处：《数学理论与应用》2020年第1期121-128,共8页Mathematical Theory and Applications

基　　金：国家统计局科学研究资助项目(2019LY21)。

摘　　要：金融序列常伴随着"尖峰厚尾"现象,序列正态分布假设不成立,且很难避免极端情况发生.此外,根据数据特征我们发现上海燃料油期货市场存在长期记忆性.因此,本文将上海燃料油期货日对数收益率序列作为研究对象,运用FIGARCH模型过滤出近似独立同分布的残差序列,并采取规范方法来进行风险价值计算.实证结果表明本文选取的模型有效,能很好地规避风险.这可为金融市场参与者提供一种规避风险的工具,以便更好地辨识和预防损失的发生.Financial sequences are often accompanied by the phenomenon of"peak thick tail".Thus the assumption that the financial sequences are normally distributed is not always true,and it is difficult to avoid the occurrence of extreme cases.In addition,according to the data characteristics,we find that there is a long-term memory in the Shanghai fuel oil futures market.Therefore,the daily logarithmic yield sequence of Shanghai fuel oil futures is taken as our research object.By applying the FIGARCH model to filter out an approximately independent and identically distributed residual sequence,the value-at-risk is then calculated by adopting the standard method.The empirical results show that the model selected in this paper is effective and is well benificial to avoid risk,and thus can serves as a risk avoidance tool for the financial market participants so that they can identify and prevent losses better.

关 键 词：燃料油期货市场 FIGARCH模型 极值理论模型 风险价值 

分 类 号：F224[经济管理—国民经济] F764.1F724.5