中文摘要：

为了捕捉原油期货高频波动规律,采用WTI原油期货五分钟数据,基于分形理论分别构建GED分布和Skew-t分布的FIGARCH、FIAPARCH和HYGARCH模型,分析其波动特征并对风险进行测度。结果显示：三种模型均较好地刻画出WTI原油期货波动的长记忆特征;基于Skew-t分布的HYGARCH模型在度量原油期货高频交易风险时尤为精确;多头与空头头寸的VaR呈现非对称性;套期保值者或高频交易者可依据模型预测波动率,防止短期波动率过大导致保证金不足而被强制平仓。高频交易在提高市场流动性和拓宽市场深度方面具有一定的作用,因此,在风险可控的条件下,政府应该鼓励高频交易,促进我国衍生品市场繁荣发展,并增强衍生品市场稳定性和国际竞争力。

英文摘要：

In order to capture the characteristics of crude oil futures, and based on the WTI crude oil futures five minutes high frequency data to construct the GED distribution and Skew-t distribution of FIGARCH, FIAPARCH and HYGARCH model, this paper tried to analyze the volatility characteristics and to measure risk by using the fractal theory. The results show that three kinds of models that better depict the WTI crude oil futures volatility has a long memory feature ; HYGARCH model with Skew-t distribution in the risk measurement of crude oil futures is demonstrated precisely. The VaR of long and short positions are asymmetric. Hedgers or high-frequency traders can forecast the volatility based on three models, prevent the short-term volatility broaden abruptly, thus leading to insufficient margin to be liquidated. High frequency trading has a certain role in improving market liquidity and expanding market depth. Therefore, in the condition of controllable risk, it should encourage high-frequency trading, which can improve the boom of derivatives market, enhance the stability and the international competi- tiveness of derivatives market.