基于不确定性指数和VIX的原油价格波动率预测研究  

Prediction of Crude Oil Price Volatility Based on Uncertainty Index and VIX

作　　者：廖惠琴 LIAO Hui-qin(School of Statistics and Data Science,Lanzhou University of Finance and Economics,Lanzhou 730020,China)

机构地区：[1]兰州财经大学统计与数据科学学院,兰州730020

出　　处：《价值工程》2025年第8期112-115,共4页Value Engineering

摘　　要：为了研究国际原油期货价格的波动情况,本文对WTI原油期货价格波动率建立模型,采用标准自回归模型(AR)作为基准模型,引入全球经济政策不确定性指数(GEPU)、美国经济政策不确定性指数(USEPU)和VIX指数建立AR-X模型作为扩展模型。实证结果表明,相较于AR-USEPU模型和AR-VIX模型,AR-GEPU指模型对WTI原油期货价格波动有显著的正向影响;在预测评价中,通过样本外R2检验和五种预测评价指标发现,AR-GEPU模型具有最好的预测效果;最后,基于不同的估计窗口和不同的窗口长度,我们的结果是稳健的。In order to study the volatility of international crude oil futures prices,this paper establishes a model of WTI crude oil futures price volatility,adopts the standard auto-regressive model(AR)as the benchmark model,and introduces the Global Economic Policy Uncertainty Index(GEPU),the US Economic Policy Uncertainty Index(USEPU)and the VIX index to establish an AR-X model as an extended model.The empirical results show that compared with AR-USEPU model and AR-VIX model,AR-GEPU model has a significant positive impact on the price volatility of WTI crude oil futures.In the prediction evaluation,it is found that AR-GEPU model has the best prediction effect through out of sample R^(2) test and five prediction evaluation indexes.Finally,based on different estimation windows and different window lengths,the results are robust.

关 键 词：WTI原油 波动率 AR模型 不确定性指数 VIX 

分 类 号：F416.22[经济管理—产业经济]