| 基于LST-GARCH模型的国际油价波动研究 |
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| 引用本文： | 董秀成,王守春.基于LST-GARCH模型的国际油价波动研究[J].数理统计与管理,2011,30(3):381-387. |
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| 作者姓名： | 董秀成 王守春 |
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| 作者单位： | 中国石油大学(北京)工商管理学院,北京,102249 |
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| 摘 要： | 本文基于西德克萨斯轻质原油现货价格日数据,采用逻辑斯特机制平滑转换GARCH模型(LST-GARCH)实证研究国际油价波动特征,研究表明收益率波动的高持久性是一种假象,国际油价的波动过程存在机制转换效应;与传统的GARCH模型相比,LST-GARCH机制转换模型能够刻画油价波动过程的机制平滑转换特征;国际油价波动性对外部冲击有明显的杠杆效应,即相同幅度负的外部冲击比正的冲击引起更大的油价波动;另外国际油价波动过程具有非线性,即波动规律的时变特征。模型的检验与预测结果表明LST-GARCH模型比GARCH模型更好地描述国际油价波动特征。
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| 关 键 词： | 油价波动 杠杆效应 机制转换效应 LST-GARCH模型 |
Study on the Characteristics of International Oil Price Volatility Based on LST-GARCH Models |
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| DONG Xiu-cheng,WANG Shou-chun.Study on the Characteristics of International Oil Price Volatility Based on LST-GARCH Models[J].Application of Statistics and Management,2011,30(3):381-387. |
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| Authors: | DONG Xiu-cheng WANG Shou-chun |
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| Institution: | DONG Xiu-cheng WANG Shou-chun (School of Business Administration,China University of Petroleum,Beijing 102249,China) |
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| Abstract: | The logistic smooth transition GARCH models(LST-GARCH)are developed to examine the volatility characteristics of the international oil price using the daily data of spot price of West Texas Intermediate(WTI)crude oil.The results show that the high levels of volatility persistence is spurious since there exists significant regime transition in the volatility process of international oil price. Compared to the traditional GARCH models,LST-GARCH model can describe this kind of volatility characteristics of int... |
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| Keywords: | oil price volatility leverage effect regime transition effect LST-GARCH model |
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