基于BEKK-GARCH模型国际原油市场间的波动溢出效应研究  

An analysis of volatility spillover effect between the international crude oil market——based on BEKK-GARCH model

作　　者：任仙玲[1] 闫龙祥 

机构地区：[1]中国海洋大学经济学院,山东青岛266100

出　　处：《中国海洋大学学报（社会科学版）》2016年第5期67-73,共7页Journal of Ocean University of China(Social Sciences)

基　　金：国家自然科学基金青年项目"Copula分位数协整理论及其在FFA市场的应用研究"(71101134)

摘　　要：文章利用BEKK-GARCH模型,借助二阶矩Granger因果关系检验,对国际上的主要原油市场及中国大庆原油市场进行了波动溢出分析。实证结果显示,作为亚洲定价基准的迪拜原油市场,该市场与大庆原油市场相关程度高达90%,但仅存在较弱的单向波动溢出,即大庆的波动会传染到迪拜原油市场,反之则迪拜对大庆原油市场并不存在波动溢出效应;作为期货定价基准的美国中质原油市场,其现货市场与其他市场的相关性都较弱,该市场与其他原油市场均存在双向波动溢出效应,但相对其他市场对中质原油市场的波动溢出效应的强度来说,美国中质原油市场对其他市场波动溢出强度较弱;作为现货定价基准的英国布伦特原油市场,虽然该市场与其他现货市场的相关程度只在50%左右,但该市场对其他市场的波动溢出均较强。With the help of the second-order moment Granger causality test,this paper analyses the volatility spillover effect of the main international crude oil market and Chinese Daqing crude oil market based on the BEKK-GARCH model.The results show that Dubai crude oil market as the Asian benchmark price,the correlation with Daqing crude oil market is as high as 90%,but there is only a weak unidirectional volatility spillover,the volatility of Daqing crude oil market will spread to Dubai crude oil market,whereas there is no volatility spillover effect from Dubai crude oil market to Daqing crude oil market.Wti crude oil as the future benchmark price,the correlation with other markets are weak,there are bidirectional volatility spillover effect between Wti crude oil market and other crude oil markets,but the volatility spillover effect from Wti crude oil market to other markets are weak relative to other markets to Wti crude oil market.Brent crude oil market as the spot benchmark price,although the degree of correlation between Brent crude oil market and other market is only about 50%,the volatility spillovers to other market are strong.

关 键 词：波动溢出 BEKK-GARCH模型 原油市场 GRANGER因果检验 动态相关 

分 类 号：F224[经济管理—国民经济]