| 基于GARCH族模型的WTI原油价格波动特征检验 |
| |
| 引用本文： | 姚小剑,吴文洁.基于GARCH族模型的WTI原油价格波动特征检验[J].西安石油大学学报(社会科学版),2013(6):1-4. |
| |
| 作者姓名： | 姚小剑 吴文洁 |
| |
| 作者单位： | 西安石油大学经济管理学院,陕西西安710065 |
| |
| 基金项目： | 陕西省教育厅科学研究项目（12JK0129）;2012年陕西（高校）哲学社会科学重点研究基地科研计划项目（12JZ028）. |
| |
| 摘 要： | 针对WTI原油价格波动具有聚集性的特点,首先利用GARCH模型实证分析,得出WTI原油价格波动受外部因素影响大,并且持续时间长;其次根据GARCH-M模型检验得出,WTI价格波动具有高风险高收益的金融市场特征;最后借助EGARCH模型检验得出,WTI原油价格波动具有杠杆效应,即价格波动主要受负面消息影响,表现出价格变化以上涨为主的特征.
|
| 关 键 词： | WTI原油 价格波动 GARCH族模型 |
The Test of WTI Crude Oil Price Volatility Characteristics Based on GARCH Cluster Models |
| |
| YAO Xiaojian,WU Wenjie.The Test of WTI Crude Oil Price Volatility Characteristics Based on GARCH Cluster Models[J].Journal of Xi‘an Shiyou University:Social Science Edition,2013(6):1-4. |
| |
| Authors: | YAO Xiaojian WU Wenjie |
| |
| Institution: | ( School of Economics and Management, Xi＇an Shiyou University, Xi＇an, Shaanxi, 710065, China ) |
| |
| Abstract: | According to the aggregation characteristics of WTI crude oil price volatility, it is concluded based on the GARCH model that the WTI crude oil price volatility is mostly influenced by outside factors, but also lasts long time. Then, it is shown according to the test of GARCH - M model that the WTI crude oil price volatility owns the financial market characteristics of high income with high risk. Finally, it is indicated by the test of EGARCH Model that the WTI crude oil price volatility has the characteristics of lever effect, which means that the WTI crude oil price volatility is more affected by bad news, and thus taking on the characteris- tics of the main rise in price. |
| |
| Keywords: | WTI crude oil price volatility GARCH Cluster Model |
| 本文献已被 CNKI 维普 等数据库收录！ |
|
