论文部分内容阅读
中国已成为世界第二大石油消费国,石油价格的波动对我国的影响不容忽视。自1998年我国原油定价和国际接轨以来,国内石油定价主要受国际市场的影响。近年来,国际原油价格跌宕起伏,持续走高,给世界的经济带来了很大的冲击,尤其是像中国这样的石油消费大国。应用ARCH类模型对国际原油价格的波动率进行研究的结果表明,国际原油价格收益率序列呈现明显的GARCH效应。运用GARCH的t分布模型对WTI原油现货价格进行了统计拟合分析,得到了其收益率序列尖峰后尾和异方差行等统计特征,并对GARCH的正态分布和t分布模型进行了比较,发现学生分布t分布的GARCH模型能更好的描述WTI原油价格的波动特征。
China has become the world’s second largest consumer of oil. The impact of fluctuations in oil prices on our country can not be ignored. Since China’s crude oil pricing and international standards in 1998, domestic oil pricing is mainly affected by the international market. In recent years, the ups and downs in the international crude oil prices, continued to rise, has brought a great impact on the world economy, especially as China, an oil-consuming power. Using ARCH model to study the volatility of the international crude oil price, the result shows that the international crude oil price yield series presents obvious GARCH effect. By using the t-distribution model of GARCH, the WTI crude oil spot prices are statistically fitted and analyzed. The statistical characteristics of the WTI crude oil back-end and heteroscedastic rows are obtained. The normal distribution and the t-distribution model of GARCH are compared. It is found that GARCH model with student distribution t distribution can better describe the fluctuation characteristics of WTI crude oil price.