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中文摘要：
从分析原油现货市场收益率的统计特征入手,为更好地刻画原油现货市场收益率的尖峰厚尾、偏态及波动集聚性和持续性的波动特性,引入SGT分布来描述原油市场价格的分布特征,利用SV模型来度量国际原油市场的价格波动率.同时,基于Bayesian原理,利用MCMC方法来解决SV模型的参数估计难题,建立了Bayesian-SV-SGT模型,并对国际原油现货价格＂VaR＂（Valueat Risk）进行了估计和分析.研究结果表明,相对GARCH类-GED模型而言,Bayesian-SV-SGT模型更好地刻画了原油现货市场收益特征,并能更加精确地刻画原油现货市场的价格风险.
英文摘要：
Based on the analysis of the demographic characteristics of the crude oil price,to better characterized the kurtosis,thick tail,skewness,volatility clustering and durative characteristics of the return of crude oil spot market,and so introduced the SGT distribution to describe the distribution characteristics of crude oil price.At the same time,based on Bayesian theory and MCMC methods to solve the difficult SV model parameter estimation problems,and then used the Bayesian-SV-SGT model to estimate and analyze the crude oil spot price VaR（Value at Risk）.The results show that the Bayesian-SV -SGT model can better describes the characteristics of crude oil spot market and can give a more precise＂Value at Risk＂estimation compare with the category of GARCH-GED model.
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