基于非对称VECM BEKK GARCH模型的国内外原油价格关联性分析

 构建非对称VECM BEKK GARCH模型，分别选取大庆原油和WTI（美国西德克萨斯原油）作为国内外原油现货价格的代表，研究分析2000年1月至2020年8月间国内外原油价格间的关联性。研究结果表明:WTI原油价格对大庆原油价格存在显著的均值溢出和波动溢出效应，而大庆原油价格对WTI原油价格只存在显著的波动溢出效应；二者间存在双向的非对称性的波动溢出效应，即大庆原油价格会随着WTI原油价格的变动而呈现出时变性和持续性变化的特点，而WTI原油价格变动呈现出持续性时，大庆原油价格也会随之产生变化，总体上，负向冲击使大庆原油价格波动的幅度大于WTI原油价格波动的幅度。

Correlation Analysis of Crude Oil Prices in China and Beyond Based on Asymmetric VECM-BEKK-GARCH Model

 An asymmetric VECM BEKK GARCH model was constructed,and Daqing crude oil and WTI (American West Texas) crude oil were selected to represent the spot prices of crude oil in China and beyond to study the correlation of the crude oil prices in and beyond China from January 2000 to August 2020.The results show that WTI prices have significant mean spillover and volatility spillover effects on Daqing crude oil prices,while Daqing crude oil prices have only significant volatility spillover effects on WTI crude oil prices.There is a two way asymmetric volatility spillover effect between the two.The price of Daqing crude oil presents time varying continuous changes with the fluctuation of the price of WTI crude oil,and it also changes with the continuous change of the price of WTI crude oil.In general,the negative shock caused greater fluctuation of Daqing crude oil price than that of WTI crude oil price.