基于GARCH族模型的上海原油期货收益率波动特征研究  

Volatility of Shanghai Crude Oil Futures Yield based on GARCH Family Model

作　　者：王新天 胡争光[1] WANG Xintian;HU Zhengguang

机构地区：[1]陕西科技大学

出　　处：《上海立信会计金融学院学报》2019年第6期34-46,共13页Journal of Shanghai Lixin University of Accounting and Finance

摘　　要：对上海原油主连期货合约日收盘价进行数据处理,建立原油期货价格日收益率波动序列,通过构建均值方程并拟合GARCH族模型,分析上海原油期货收益率波动特征。实证结果显示:上海原油期货收益率有显著的时变性、聚集性及均值回复特征;原油期货收益率呈现非对称性,不符合风险越高,收益率越高的特征;市场中好消息引起的收益率波动比同等程度坏消息引起的收益率波动大,存在较明显的杠杆效应。建议监管部门加大监管力度,使上海原油期货价格透明可靠,扩大原油期货市场的国内与国际影响力。The daily closing price of the main crude oil futures contract is used to establish the daily volatility yield series.Through mean value equation and GARCH family model,the paper analyzes yield volatility characteristics of Shanghai crude oil futures.The empirical results show that the yield of crude oil futures is characterized by time variability,aggregation and mean reversion;the return of Shanghai crude oil futures is asymmetric,which does not conform to the characteristics of higher risk and higher return.The fluctuation caused by good news is larger than that caused by bad news and there is leverage effect.The supervision department should strengthen supervision power and make the future price transparent and liable to enhance domestic and international influence of the oil future market.

关 键 词：上海原油期货 收益率 GARCH族模型 

分 类 号：F832.5[经济管理—金融学]