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国际原油价格的频繁大幅波动不仅影响到微观层面的消费信心、投资决策,而且还会影响到各国的经济发展。本文根据国际原油市场的长周期波动规律将1986-2009年的原油期货价格波动分为四个阶段,对每个阶段内的价格风险水平、变化趋势及其成因进行了实证分析。通过对比分析和回测检验历史模拟法(HS)、基于t分布的GARCH模型法(t-GARCH)和基于移动平均的蒙特卡罗模拟方法(SMA-MC)计算出的风险值VaR,发现t-GARCH对国际原油期货市场不同阶段及同一阶段内不同时刻的风险都能够做出较好的评估,SMA-MC在第一阶段和第四阶段对风险度量具有相对优势,而HS对阶段内特定时期的风险度量具有相对优势。整体来看,国际原油市场的价格风险呈现出逐步增加的趋势,因此利用原油期货市场进行套期保值和风险管理对原油相关企业而言非常必要。
The frequent and drastic fluctuations of international crude oil prices not only affect the consumer confidence and investment decisions at the micro level, but also affect the economic development of all countries. According to the long-period fluctuation law of the international crude oil market, this paper divides the volatility of the crude oil futures from 1986 to 2009 into four stages, and empirically analyzes the price risk level, the changing trend and the causes in each stage. Through comparative analysis and backtesting test of historical simulation (HS), t-distribution based GARCH model (t-GARCH) and VaR based on moving average Monte Carlo simulation method (SMA-MC) -GARCH can better evaluate the risks in different phases of the international crude oil futures market and at different times in the same phase. The SMA-MC has a comparative advantage in risk measurement in the first and fourth stages, The period of risk measurement has a relative advantage. On the whole, the price risk in the international crude oil market shows a gradual increase trend. Therefore, using the crude oil futures market for hedging and risk management is very necessary for crude oil related enterprises.