中国石油产业定价市场化进程:基于GARCH与MS-GARCH预测能力的研究  

The Chinese Oil Industry Pricing Marketization Process:Research on Prediction Ability Based on GARCH and MS-GARCH

作　　者：高新新 王璐[1] 李丽虹 马元慧 GAO Xinxin;WANG Lu;LI Lihong;MA Yuanhui(School of Mathematics,Southwest Jiaotong University,Chengdu 610031,China)

机构地区：[1]西南交通大学数学学院,成都610031

出　　处：《河南科学》2020年第2期179-187,共9页Henan Science

基　　金：国家自然科学基金资助项目(71701170);国家统计局统计信息技术与数据挖掘重点开放实验室项目(SDL201711);成都软科学研究项目(2017-RK00-00032-ZF)。

摘　　要：我国石油产业现如今处于与国际接轨阶段,为厘清石油改革发展与油价定价的关系,利用MS-GARCH模型研究了大庆石油价格的波动特征.构建分阶段MS-GARCH模型,通过不同阶段模型参数特征说明了油价波动与油价定价开放有紧密联系.根据石油价格MS-GARCH模型和GARCH模型的波动率预测精度对比,显示出MS-GARCH模型的优势.模型分析结果表明,石油价格随着市场化进程的深入,波动率呈现两状态趋势.在我国石油产业刚刚步入与国际接轨阶段,石油价格波动还未呈现明显的高低两种不同状态,而在之后的十几年间,石油产业定价机制不断改革,国内石油市场与国际市场关系密切,石油价格波动剧烈,逐渐显现出高波动和低波动两种状态特征.The Chinese oil industry is now in the stage of international integration. In order to clarify the relationship between oil industry reform and oil pricing,we used MS-GARCH model to study the fluctuation characteristics of Daqing oil price. Moreover,a phased MS-GARCH model was constructed. The characteristics of the model parameters in different stages explained that oil price volatility is closely related to the opening of oil price. Then,according to the comparison of the volatility prediction accuracy of the oil price MS-GARCH model and GARCH model,the advantages of MS-GARCH model are shown. The analyzing results show that the oil price has a two-state trend with the deepening of the marketization process. In the period when Chinese oil industry has just entered the stage of international integration,the volatility of oil price has not yet shown the two obviously different states of high and low. In the following ten years,the oil pricing mechanism has continued to reform,and the domestic oil market is closely related to the international market. The oil price fluctuates violently,gradually showing two characteristics of high and low volatility.

关 键 词：GARCH MS-GARCH 预测 市场化 石油价格 

分 类 号：F426[经济管理—产业经济]