| 国际油价波动跳跃性特征的实证分析 |
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| 引用本文： | 梁琳琳.国际油价波动跳跃性特征的实证分析[J].数理统计与管理,2011,30(3):388-396. |
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| 作者姓名： | 梁琳琳 |
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| 作者单位： | 云南财经大学国际工商学院,云南昆明,650221 |
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| 基金项目： | 云南财经大学引进人才“科研启动费”资助项目(项目编号:YC10D013); 云南省教育厅科学基金研究项目(项目编号:09C0121) |
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| 摘 要： | 根据国际油价波动中存在异常跳跃的情况,本文运用EGARCH-Jump模型对国际油价波动的跳跃性特征进行了实证分析。结果表明,加入跳跃因素的模型减缓了国际油价波动的持续性,同时杠杆效应消失,表明跳跃性因素是国际油价波动的影响因素之一,也证实了国际油价波动的跳跃性特征是国际石油市场产生杠杆效应的原因。但从长期来看,跳跃性因素对国际油价波动的扰动影响并不大,国际油价的波动仍主要受正常信息的影响。总体上,EGARCH-Jump模型比普通GARCH族模型能更好地捕捉国际油价波动的动态性特征。
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| 关 键 词： | 国际油价 波动性 跳跃性 EGARCH-Jump模型 |
The Jump Dynamics of the Oil Price Volatility |
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| LIANG Lin-lin.The Jump Dynamics of the Oil Price Volatility[J].Application of Statistics and Management,2011,30(3):388-396. |
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| Authors: | LIANG Lin-lin |
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| Institution: | LIANG Lin-lin (International Business School,Yunnan University of Financial and Economics,Yunnan Kunming 650221,China) |
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| Abstract: | This paper investigates the variations of the volatility of oil price after the introduction of jump process.An EGARCH-Jump model is employed to synthesize both common volatility and sudden jump intensities of the oil price and the model is used to analyze the impact of the jumps on the oil price volatility.We find that the extended EGARCH-Jump model can capture several stylized facts in the volatilities and jump dynamics in the world oil markets.The results indicate that the disturbing persistence are weak... |
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| Keywords: | oil price volatility jump EGARCH-jump model |
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