基于DCC-GARCH模型的国际原油价格与美元的动态相关性研究  

A Research of the Dynamic Correlation between International Crude Oil Price and Dollar Based on DCC-GARCH Model

作　　者：张婷[1] 

机构地区：[1]贵州师范学院职业技术学院,贵州贵阳550018

出　　处：《贵州商业高等专科学校学报》2015年第2期7-10,共4页Journal of Guizhou Commercial College

摘　　要：本文运用DCC-GARCH模型研究了2009年10月13日至2013年4月8日国际原油价格和美元之间的波动溢出效应。研究表明:国际原油价格与美元指数具有显著的波动持续性,而美元指数吸收波动的时间更长,国际原油价格与美元指数之间存在较强的负相关性,但动态相关性的时变效应不明显。这表明国际原油价格与美元指数存在着市场间的波动溢出效应,我们应该加强对美元指数变动趋势的监测,加快原油期货市场的建设以切实防范原油价格波动的风险。This paper, utilizing DCC -GARCH Model, mainly explores volatility spillover effect between international crude oil price and dollar from October 13th, 2009 to April 8th, 2013. The Research shows that there is significant fluctuations sustainability between international crude oil price and dollar; there is longer time of dollar index absorption fluctuation; the strong negative correlation exerts between international crude oil price and dollar; however, time -varying effect is not obvious. This suggests the market volatility spillover effect exists in the international crude oil prices and the dollar index. We should strengthen the monitoring of the trend of the dollar index changes ; accelerate the construction of crude oil futures market to effectively guard against the risk of fluctuations in the price of crude oil.

关 键 词：DCC—GARCH模型 动态相关性 波动溢出效应 

分 类 号：F063.2[经济管理—政治经济学]