中国期货市场非交易时段的VaR与ES测度研究

Measurement of VaR and ES of non-trading hours in the Chinese futures market

非交易时段累积的金融信息是影响期货市场波动的重要因素。据此,本文利用极值理论对交易当晚、周末假日和中长假日的风险价值及其预期损失进行了估计。研究结果显示:VaR和ES模型可以较好地描述期货市场非交易时段的风险价值及其预期损失;各期货市场的交易当晚、周末假日和中长假日的风险价值及其预期损失估计值均呈逐渐递增态势,这意味着我国期货市场非交易时间与非交易风险之间呈正向关系,即非交易时间越长,信息的累积会越多,非交易风险也就越大。总体而言,铜、橡胶和小麦市场的非交易风险较大,铝和大豆市场的非交易风险相对较小。

The financial information of non-trading time is a great influence on the futures markets.This paper estimates the value at risk(VaR)and expected shortfall(ES)at weeknights,weekends and holidays according to the extreme value theory.The results show that the VaR and ES of non-trading time are much better described through the value at risk and expected shortfall models;the estimated values of VaR and ES increase progressively at weeknights,weekends and holidays,which means that there prevails a substantial positive relationship between non-trading hours and non-trading risk,or,the information accumulates and the non-trading risk gets bigger as the non-trading time increases;and on the whole,the non-trading risk of copper,rubber and wheat futures markets is higher than that of aluminum and soybean futures markets.