國內(nèi)外石油價(jià)格收益率波動(dòng)性分析
發(fā)布時(shí)間：2018-12-07 18:22
【摘要】：石油是目前世界上最重要的一種化工原料和戰(zhàn)略資源，充斥著生產(chǎn)生活各個(gè)領(lǐng)域，對(duì)于各國經(jīng)濟(jì)的發(fā)展都起著至關(guān)重要的作用。然而，隨著現(xiàn)代工業(yè)的迅速發(fā)展，世界各國又都面臨著不同程度的能源緊缺問題。因此，石油不僅僅是一般意義上的商品，更具有政治屬性，對(duì)全球政治格局、經(jīng)濟(jì)地位和軍事形勢(shì)都起著決定性的作用。同時(shí)，隨著各國金融市場(chǎng)的迅速發(fā)展，各種衍生品的推出，石油市場(chǎng)與金融市場(chǎng)的聯(lián)系日漸緊密，又呈現(xiàn)出一定的金融屬性。作為同時(shí)兼具商品屬性、政治屬性與金融屬性的特殊的商品，石油價(jià)格受到多種因素的影響，表現(xiàn)出很大的波動(dòng)性。我國作為目前世界上最大的石油進(jìn)口國之一，石油進(jìn)口依存度很大，但對(duì)于油價(jià)制定的話語權(quán)卻非常有限。國際石油價(jià)格的劇烈波動(dòng)勢(shì)必會(huì)傳至我國，從而對(duì)我國經(jīng)濟(jì)造成重大影響。因此，研究國內(nèi)外石油市場(chǎng)價(jià)格的波動(dòng)性規(guī)律，對(duì)我國石油市場(chǎng)的風(fēng)險(xiǎn)監(jiān)管具有重要的意義。 波動(dòng)性是指價(jià)格非預(yù)期變化的趨勢(shì)或收益的概率分布，在早期以有效市場(chǎng)假說為基礎(chǔ)的金融研究中，波動(dòng)性通常被假設(shè)為某種固定形式（如收益率方差固定不變或取平均值）。但后來很多學(xué)者研究發(fā)現(xiàn)，金融資產(chǎn)收益率的波動(dòng)，在時(shí)間序列上表現(xiàn)出尖峰厚尾、集簇等特征。為此，學(xué)者引入不同的波動(dòng)模型進(jìn)行分析，目前主要分為GARCH和隨機(jī)波動(dòng)兩類模型。 本文采用了定性分析和實(shí)證研究相結(jié)合的方法，分析了國內(nèi)外石油價(jià)格波動(dòng)的特征。全文共分五章進(jìn)行闡述：第一章是緒論，對(duì)石油價(jià)格波動(dòng)的研究背景、意義、國內(nèi)外研究現(xiàn)狀、全文的結(jié)構(gòu)框架及創(chuàng)新點(diǎn)進(jìn)行了介紹。第二章是全文的理論基礎(chǔ)，介紹了金融市場(chǎng)的波動(dòng)性特征以及文章實(shí)證部分所采用的主要模型和一些相關(guān)的方法理論。第三章對(duì)國內(nèi)外石油市場(chǎng)的波動(dòng)性特征作了定性研究，主要包括石油的戰(zhàn)略地位、石油的戰(zhàn)略地位，以及后危機(jī)時(shí)代石油價(jià)格波動(dòng)的具體情況。第四章是全文的重點(diǎn)，利用GARCH和SV模型族刻畫了WTI與大慶石油價(jià)格波動(dòng)的特征，并且利用樣本外預(yù)測(cè)的方法對(duì)兩類模型的預(yù)測(cè)能力進(jìn)行了比較。最后，第五章為全文的結(jié)論。 本文的主要觀點(diǎn)是：第一，，國內(nèi)外石油價(jià)格波動(dòng)均存在一定的集聚性和持續(xù)性，通過GARCH模型建模，能較好地消除ARCH效應(yīng)。并且，誤差分布假設(shè)為t分布時(shí)的模擬結(jié)果明顯優(yōu)于另外兩種分布假設(shè)。第二，國內(nèi)外石油市場(chǎng)均存在明顯的杠桿效應(yīng)，加入對(duì)杠桿效應(yīng)的刻畫，能提高模型對(duì)石油價(jià)格波動(dòng)性預(yù)測(cè)的能力。第三，國內(nèi)外石油市場(chǎng)均呈現(xiàn)出“高風(fēng)險(xiǎn)、高收益”的特征，并且，SV模型類對(duì)該特征的刻畫能力優(yōu)于GARCH-M模型。第四，綜合比較，在刻畫石油價(jià)格收益率波動(dòng)性方面，隨機(jī)波動(dòng)模型優(yōu)于GARCH模型族。
[Abstract]:Oil is one of the most important chemical raw materials and strategic resources in the world, which is full of production and life, and plays a vital role in the economic development of all countries. However, with the rapid development of modern industry, all countries in the world are facing the problem of energy shortage to varying degrees. Therefore, oil is not only a commodity in general sense, but also a political attribute, which plays a decisive role in the global political structure, economic status and military situation. At the same time, with the rapid development of financial markets in various countries and the introduction of various derivatives, the oil market and the financial market are increasingly closely linked, showing a certain financial attributes. As a special commodity with both commodity attributes, political attributes and financial attributes, the oil price is affected by many factors, showing great volatility. As one of the largest oil importing countries in the world, China has a great dependence on oil import, but it has a very limited right to say about oil price. The sharp fluctuation of international oil price is bound to spread to China, which has a great impact on our economy. Therefore, it is of great significance to study the volatility of oil market price at home and abroad. Volatility refers to the trend or probability distribution of the unexpected change of price. In the early financial research based on the efficient market hypothesis, volatility is usually assumed to be a certain fixed form (such as fixed or average return variance). However, many scholars later found that the volatility of financial asset return shows the characteristics of peak, thick tail and cluster in time series. For this reason, scholars introduce different volatility models, which are mainly divided into two types: GARCH model and stochastic volatility model. In this paper, the characteristics of oil price fluctuation at home and abroad are analyzed by combining qualitative analysis with empirical research. The paper is divided into five chapters: the first chapter is the introduction, the research background, significance, domestic and foreign research status, the structure of the full text and innovation points are introduced. The second chapter is the theoretical basis of the full text, introduced the volatility characteristics of financial markets, the empirical part of the main models and some related methods. The third chapter makes a qualitative study on the volatility characteristics of oil market at home and abroad, mainly including the strategic position of oil and the specific situation of oil price fluctuation in the post-crisis era. The fourth chapter is the focus of this paper. The characteristics of WTI and Daqing oil price fluctuation are described by using GARCH and SV model families, and the prediction ability of the two models is compared by using the method of extrasample prediction. Finally, the fifth chapter is the conclusion of the full text. The main points of this paper are as follows: first, there is a certain concentration and persistence of oil price fluctuation at home and abroad. The ARCH effect can be eliminated by GARCH model modeling. Moreover, when the error distribution is assumed to be t distribution, the simulation results are obviously superior to the other two distribution assumptions. Secondly, there is obvious leverage effect in both domestic and foreign oil markets. The ability of model to predict the volatility of oil price can be improved by adding the depiction of leverage effect. Thirdly, the oil market at home and abroad presents the feature of "high risk and high profit", and the SV model class has better characterizing ability than the GARCH-M model. Fourthly, the stochastic volatility model is superior to the GARCH model in describing the volatility of oil price return.
【學(xué)位授予單位】：浙江財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F416.22;F764.1
本文編號(hào)：2367629
[Abstract]:Oil is one of the most important chemical raw materials and strategic resources in the world, which is full of production and life, and plays a vital role in the economic development of all countries. However, with the rapid development of modern industry, all countries in the world are facing the problem of energy shortage to varying degrees. Therefore, oil is not only a commodity in general sense, but also a political attribute, which plays a decisive role in the global political structure, economic status and military situation. At the same time, with the rapid development of financial markets in various countries and the introduction of various derivatives, the oil market and the financial market are increasingly closely linked, showing a certain financial attributes. As a special commodity with both commodity attributes, political attributes and financial attributes, the oil price is affected by many factors, showing great volatility. As one of the largest oil importing countries in the world, China has a great dependence on oil import, but it has a very limited right to say about oil price. The sharp fluctuation of international oil price is bound to spread to China, which has a great impact on our economy. Therefore, it is of great significance to study the volatility of oil market price at home and abroad. Volatility refers to the trend or probability distribution of the unexpected change of price. In the early financial research based on the efficient market hypothesis, volatility is usually assumed to be a certain fixed form (such as fixed or average return variance). However, many scholars later found that the volatility of financial asset return shows the characteristics of peak, thick tail and cluster in time series. For this reason, scholars introduce different volatility models, which are mainly divided into two types: GARCH model and stochastic volatility model. In this paper, the characteristics of oil price fluctuation at home and abroad are analyzed by combining qualitative analysis with empirical research. The paper is divided into five chapters: the first chapter is the introduction, the research background, significance, domestic and foreign research status, the structure of the full text and innovation points are introduced. The second chapter is the theoretical basis of the full text, introduced the volatility characteristics of financial markets, the empirical part of the main models and some related methods. The third chapter makes a qualitative study on the volatility characteristics of oil market at home and abroad, mainly including the strategic position of oil and the specific situation of oil price fluctuation in the post-crisis era. The fourth chapter is the focus of this paper. The characteristics of WTI and Daqing oil price fluctuation are described by using GARCH and SV model families, and the prediction ability of the two models is compared by using the method of extrasample prediction. Finally, the fifth chapter is the conclusion of the full text. The main points of this paper are as follows: first, there is a certain concentration and persistence of oil price fluctuation at home and abroad. The ARCH effect can be eliminated by GARCH model modeling. Moreover, when the error distribution is assumed to be t distribution, the simulation results are obviously superior to the other two distribution assumptions. Secondly, there is obvious leverage effect in both domestic and foreign oil markets. The ability of model to predict the volatility of oil price can be improved by adding the depiction of leverage effect. Thirdly, the oil market at home and abroad presents the feature of "high risk and high profit", and the SV model class has better characterizing ability than the GARCH-M model. Fourthly, the stochastic volatility model is superior to the GARCH model in describing the volatility of oil price return.
【學(xué)位授予單位】：浙江財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F416.22;F764.1
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