摘要
运用GARCH、EGARCH的t分布模型对WTI原油现货价格进行了统计拟合分析,得到了其收益率序列尖峰厚尾和异方差性等主要概率特征,并对GARCH、EGARCH的t分布模型的预测效果进行了比较分析,发现基于学生t分布的EGARCH模型比GARCH模型能更好地描述WTI原油价格的波动特征,并且具有较好的预测能力。
Statistical fitting was carried out on WTI crude oil spot prices return series based on GARCH-t and EGARCH-t models.Results indicated that the series had the characteristics as fat-tail and heteroskedasticity.Furthermore,EGARCH-t model was superior to GARCH-t model in terms of fitting and prediction.
出处
《武汉理工大学学报（信息与管理工程版）》
CAS
2010年第5期811-814,共4页
Journal of Wuhan University of Technology：Information & Management Engineering
基金
国家自然科学基金资助项目(70771042)
