| 基于ARCH类模型的国内油价波动分析 | |
| 潘慧峰 ; 张金水 ; Pan Huifeng ; Zhang Jinshui | |
| 2010-06-07 ; 2010-06-07 | |
| 关键词 | 原油价格 波动性 TARCH 杠杆效应 F426.22 |
| 其他题名 | The Analysis of Domestic Oil Price Fluctuation Based on ARCH Models |
| 中文摘要 | The ARCH type models are applied on the weekly data of crude oil return from January 1997 to November 2003 to examine the features of volatility in China market.Our findings indicate that there exists significant conditional heteroskedasticity but with low persistence in the return of crude oil.The leverage effect in oil market is different from the one in the stock market,which shows that upward movements in the price of crude oil are followed by higher volatilities than downward movements of the same magnitude.Based on this,this paper analyzes the cause of the leverage effect in crude oil market from the angel of nonrenewable resources and discusses the countermeasures to deal with the volatility in oil price in terms of the situation of China. |
| 语种 | 中文 ; 中文 |
| 内容类型 | 期刊论文 |
| 源URL | [http://hdl.handle.net/123456789/39464]  |
| 专题 | 清华大学 |
| 推荐引用方式 GB/T 7714 | 潘慧峰,张金水,Pan Huifeng,等. 基于ARCH类模型的国内油价波动分析[J],2010, 2010. |
| APA | 潘慧峰,张金水,Pan Huifeng,&Zhang Jinshui.(2010).基于ARCH类模型的国内油价波动分析.. |
| MLA | 潘慧峰,et al."基于ARCH类模型的国内油价波动分析".(2010). |
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