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基于ARCH族模型的石油价格波动性分析
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Abstract:
随着中国成为世界第二大经济实体，能源在经济发展方面的重要地位也与日俱增，石油价格的波动牵动着全球经济的“神经”，会对经济发展产生极大的影响，因此降低石油价格波动所产生风险非常必要。本文以1987~2021年WTI原油价格为原始数据，利用ARCH族模型对油价波动进行实证分析，研究表明石油价格波动具有肥尾分布和波动率聚类的特征且具有均值回归的倾向，当面对“黑天鹅事件”时能够以较快的速度减小危机带来的冲击，从而得出石油价格波动在突发情形下具有较大弹性的一般结论，并基于此提出完善市场机制作为主要政策实施方向和发展石油期货期权等衍生产品的政策建议，从而减小经济发展的不确定性风险。
As China becomes the second largest eco-nomic entity in the world, the important position of energy in economic development is also in-creasing day by day. The fluctuation of oil price affects the “nerve” of the global economy and will have a great impact on economic development. Therefore, it is necessary to reduce the risks caused by oil price fluctuations. This paper uses the WTI crude oil price as the original data, using the ARCH family model for empirical analysis of oil price fluctuations, the study shows that the oil price fluc-tuation has the characteristics of fat tail distribution and fluctuation clustering and has the tenden-cy of mean regression, when in the face of “black swan event” to reduce the impact of the crisis, thus concluded that the oil price fluctuations in sudden elastic general conclusion, and based on this proposed to improve the market mechanism as the main policy implementation direction and the development of oil futures and options and other derivatives policy suggestions, thus reducing the uncertainty risk of economic development.
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