基于GARCH-VaR模型的石油价格风险研究  

Study of oil price risk based on GARCH-VaR model

作　　者：周莹[1] 焦建玲[1] 

机构地区：[1]合肥工业大学管理学院,安徽合肥230009

出　　处：《合肥工业大学学报（自然科学版）》2011年第9期1423-1428,共6页Journal of Hefei University of Technology：Natural Science

基　　金：国家自然科学基金资助项目(70971034);安徽省自然科学基金资助项目(090416243)

摘　　要：石油价格收益率一般不符合VaR模型的独立、对称的正态分布假设,表现出金融时间序列的非对称性、异方差、波动聚集等特征。文章提出利用GARCH模型估计石油价格收益率的时变条件方差,改进传统VaR对方差的估计,并通过实证分析,估计石油价格风险,即在一定的置信度水平下石油价格可能的最大日损失值,估计结果显示改进的GARCH-VaR结果比传统VaR结果更加准确。Oil prices yield is generally not following the independent and symmetrical normal distribution of the VaR Model,which causes asymmetry,heteroskedasticity and volatility clustering of financial time series.In this paper,a GARCH model is introduced to estimate the time-varying conditional variances of oil prices yield,which improves the performance of the traditional VaR method in this respect.By using this improved GARCH-VaR method,the oil prices risks,namely the probable maximum daily loss value of the oil prices under certain confidence level,are evaluated,and more accurate results can be obtained compared with those of the traditional VaR method.

关 键 词：石油价格风险 在险值 GARCH模型 

分 类 号：F416.22[经济管理—产业经济]