| 我国原油价格与外国原油价格的波动溢出效应——基于DCC-MGARCH模型分析 |
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| 引用本文： | 王雪标,周维利,范庆珍. 我国原油价格与外国原油价格的波动溢出效应——基于DCC-MGARCH模型分析[J]. 数理统计与管理, 2012, 31(4): 571-584 |
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| 作者姓名： | 王雪标 周维利 范庆珍 |
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| 作者单位： | 1. 东北财经大学经济计量分析与预测研究中心,数学与数量经济学院,辽宁大连116025
2. 大连海洋大学职业技术学院,辽宁大连,116000 |
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| 基金项目： | 教育部人文社会科学重点研究基地重大研究项目(2009JJD790004);教育部人文社会科学研究项目(09YJA790028);辽宁省教育厅创新团队项目(2008T054);科技部创新方法专项资助(2009IM010400) |
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| 摘 要： | 本文利用扩展的4维(E)DCC-MGARCH(1,1)模型,分析了四个原油市场(Brent、WTI、Dubai、China)之间的相互波动溢出效应。研究表明,Brent、WTI原油市场对我国市场均有显著的单向波动溢出效应,WTI原油市场比Brent原油市场对我国原油市场的波动溢出效应更明显。我国和美国原油市场波动都是暂时的,而Brent原油市场波动性是持久的。我国原油市场对Dubai原油市场有单向的波动溢出效应。结果还显示,Brent与WTI原油市场有双向波动溢出效应,Brent的波动溢出效应小于WTI波动溢出效应。
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| 关 键 词： | 波动溢出 多元GARCH模型 原油价格 DCC模型 |
Research on the Volatility Spillover Effects between Domestic and International Crude Oil Markets Based on the Extended DCC-MGARCH Model |
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| WANG xue-biao,ZHOU Wei-li,Fan Qing-zhen. Research on the Volatility Spillover Effects between Domestic and International Crude Oil Markets Based on the Extended DCC-MGARCH Model[J]. Application of Statistics and Management, 2012, 31(4): 571-584 |
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| Authors: | WANG xue-biao ZHOU Wei-li Fan Qing-zhen |
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| Affiliation: | 1.School of Mathematics and Quantitative Economics,Center for Econometric Analysis and Forecasting,Dongbei University of Finance and Economics,Liaoning Dalian 116025,China,2. Vocational Technical College,Dalian Ocean University,Liaoning Dalian 116000,China) |
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| Abstract: | In this paper,we apply the four-dimensional(E)DCC-MGARCH(1,1)model to analyze the volatility spillover effects between the four crude oil markets,Brent,WTI,Dubai and Daq(China).The results show that there exist significant volatility spillover effects of Brent and WTI on Daq crude oil market and that the volatility spillover effect of WTI on Daq is stronger than the volatility spillover effect of WTI on Daq.The volatilities of WTI and Daq are temporary and the volatility of Brent is persistent. The study also shows that there exist significant volatility spillover effects of Daq on Dubai. |
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| Keywords: | Volatility spillover Multivariate GARCH model crude oil price (Extended)DCC model |
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