| 基于GARCH模型的石油价格变动模拟 |
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| 引用本文： | 邹艳芬,陆宇海.基于GARCH模型的石油价格变动模拟[J].数理统计与管理,2006,25(6):640-644. |
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| 作者姓名： | 邹艳芬 陆宇海 |
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| 作者单位： | 1. 淮海工学院经管系,江苏,连云港,222001;中国矿业大学管理学院,江苏,徐州,221008
2. 淮海工学院经管系,江苏,连云港,222001 |
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| 摘 要： | 石油是一种特殊的商品,是国家重要的战略物资,世界各国都十分重视其价格变动问题,因为油价变化会影响到各国经济发展,甚至国家安全。因此,本文采用GARCH模型,通过基于Gibbs抽样的MCMC方法分析了国际市场石油价格的分布特征,对石油价格波动的异方差特性进行描述和模拟,实证分析结果说明从石油价格波动序列峰度系数和平方价格波动序列自相关函数的描述来看,基于t分布的模型模拟效果优于基于正态分布的模型,这一结论反映了石油价格波动序列的分布特性。
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| 关 键 词： | 国际石油价格 Gibbs抽样 GARCH模型 |
| 文章编号： | 1002-1566(2006)06-0640-05 |
| 收稿时间： | 2005-07-15 |
| 修稿时间： | 2005年7月15日 |
Petroleum Price Stimulation Based on GARCH Model |
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| ZOU Yan-fen,LU Yu-hai.Petroleum Price Stimulation Based on GARCH Model[J].Application of Statistics and Management,2006,25(6):640-644. |
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| Authors: | ZOU Yan-fen LU Yu-hai |
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| Institution: | 1. Economic and management department of Huaihai Institute of Technology, Lianyuangang,222001, China; 2. Management school of China University of Mining Technology, Xuzhou 221008, China |
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| Abstract: | Petroleum is a special commodity, it's an important strategic material.Each country attaches great importance to its price fluctuation,because the change will influence the economic development, even national security.Therefore,based on research of historic stage of international petroleum price fluctuation,this article analyzed its distributive character by GARCH-t and GARCH-N models through MCMC method of Gibbs-sample,showed that the model it's price time series isn't N distribution according to the conclusion that the stimulation based on t-distribution is better than Ndistribution. |
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| Keywords: | international petroleum price Gibbs-sample GARCH model |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
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