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.
作者
王新天
胡争光
WANG Xintian;HU Zhengguang
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
关键词
上海原油期货
收益率
GARCH族模型
Shanghai crude oil futures
Rate of returns
GARCH family model
