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对BRENT原油差价合约(CFD),2005年12月30日至2013年12月6日的日收盘价格进行了统计拟合分析,得出其收益率序列具有尖峰厚尾、条件异方差、波动集聚,投机氛围浓厚等特征.在模型中引入外生变量,美元指数,标准普尔指数,现货黄金,使用用GARCHX模型,得出SP500、黄金对原油差价合约日收益率负相关,美指和原油差价合约日收益率正相关,给出了相应的投资建议.
A statistical fitting analysis was conducted on the closing price of BRENT CFD from December 30, 2005 to December 6, 2013, and the result shows that the series of returns has peak-tailings, conditional heteroskedasticity, fluctuating concentration , The atmosphere of speculative atmosphere and so on.Endogenous variables introduced in the model, the dollar index, the S & P index, spot gold, the use of GARCHX model, derived SP500, gold on the crude oil contract the daily rate of return negative correlation, the United States refers to the crude oil spread The contract daily rate of return is positive, given the corresponding investment advice.