| 国际原油价格市场波动的模型分析 |
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| 引用本文： | 陈益芬,徐诺.国际原油价格市场波动的模型分析[J].甘肃联合大学学报(自然科学版),2010,24(2):36-39. |
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| 作者姓名： | 陈益芬 徐诺 |
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| 作者单位： | 华南师范大学,南海校区数学与应用数学系,广东,佛山,528225 |
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| 摘 要： | 利用ARCH类模型,对2007年6月8日至2009年10月8日间国际WTI原油价格日数据的波动性进行了研究.结果表明当今国际原油价格收益率呈现明显的GARCH效应,国际油价受期货市场价格和其他短期因素影响较大,并呈现较长的持续性.各国应充分利用全球经济一体化后形成的全球市场体系,依靠能源在全球的高度流动性寻找石油问题的出路.
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| 关 键 词： | WTI原油 ARCH模型 波动性 |
Analysis of ARCH Models on The Major Price of WTI Crude Oil |
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| CHEN Yi-fen,XU Nuo.Analysis of ARCH Models on The Major Price of WTI Crude Oil[J].Journal of Gansu Lianhe University :Natural Sciences,2010,24(2):36-39. |
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| Authors: | CHEN Yi-fen XU Nuo |
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| Institution: | The department of Mathematics and applied mathematics;Nanhai campus of south china national university;Fushan 528225;China |
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| Abstract: | By analyzing the daily data of the major market price of WTI crude oil,this thesis applies ARCH models to study wave properties of the major market crude oil prices.The result demostrates that the profitability series of major crude oil prices manifest GARCH effect obviously and are infuenced by futures market price and other short-term factors.Simultaneously,the impact of international factors on the wave properties of the major market crude oil prices are critical as well as endurable.Therefore,for solvin... |
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| Keywords: | WTI crude ARCH model wave properties |
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