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本文利用GARCH模型、GARCH-M模型和EGARCH模型研究我国原油价格的波动性。研究结果表明,原油价格的波动存在集聚性和持续性,波动幅度比较大,波动集聚现象比较持久。原油市场预期风险的增加会带来预期收益的增加,符合市场经济的运行原则。我国原油价格波动存在着非对称性,油价下跌的信息对以后油价的波动影响更大。
In this paper, the use of GARCH model, GARCH-M model and EGARCH model to study the volatility of China’s crude oil prices. The results show that the volatility of the crude oil price is characterized by the concentration and persistence, the volatility is relatively large, and the volatility accumulation is relatively long-lasting. The expected increase in crude oil market risk will bring the expected increase in earnings, in line with the principles of market economy. The asymmetry exists in the fluctuation of crude oil price in our country. The information of falling oil price has a greater impact on the fluctuation of oil price in the future.