商品市场不可生成波动率的实证研究

An Empirical Research of the Unspanned Volatility in Commodity Market

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。

Torlle(2008) defines the market risk into two kinds-one kind of risk can be totally hedged by futures and the other one cannot be totally hedged by futures but partly by options.And then we interpret those two kinds of risks in the mathematical way-the risk which can be totally hedged by futures is defined as Spanned Stochastic Volatility;the risk which cannot be totally hedged by futures but partly hedged by options is defined as Unspanned Stochastic Volatility.To test the existence of Unspanned Stochastic Volatility,we follow Trolle(2008)'s research frame to do the empirical analysis on COMEX Gold,NYMEX Oil and SHFE Copper.As China has not introduce commodity futures options,we use two volatility proxies for SHFE copper market,which is different from Trolle(2009).The result is that the Unspanned Stochastic Volatility exists in the above three market,which provides the theoretical support to the introduction of commodity options in China.