哈尔滨工业大学学报：社会科学版
哈爾濱工業大學學報：社會科學版
합이빈공업대학학보：사회과학판
Journal of Harbin Institute of Technology(Social Sciences Edition)
2010年
3期
88~93
,共null页
GARCH模型 国际油价 价格波动 价格风险 VaR
GARCH模型 國際油價 價格波動 價格風險 VaR
GARCH모형 국제유개 개격파동 개격풍험 VaR
GARCH model; world oil price; price volatility; price risk; VaR
鉴于国际原油市场对我国经济的重大影响，对美国WTI原油现货市场和欧洲Brent原油现货市场的油价波动做了基于GARCH模型的价格风险实证研究。结果表明，三种扰动项分布的假设中GED分布在99％置信水平下的失败率偏小，能够较好地刻画石油市场收益率分布的厚尾性，正态分布也能够准确地度量国际原油市场价格风险，但较GED分布容易导致风险的低估，而t分布的测度过于保守，仅适合于石油市场剧烈振荡的时期；WTI市场收益率的条件异方差性比Brent市场更为显著，考察期内平均和最大的VaR值大于Brent市场，发生极端风险事件的可能性大于Brent市场，而Brent市场在95％置信水平下的失败率显著高于WTI市场，发生风险事件的频率高于WTI市场。
鑒于國際原油市場對我國經濟的重大影響，對美國WTI原油現貨市場和歐洲Brent原油現貨市場的油價波動做瞭基于GARCH模型的價格風險實證研究。結果錶明，三種擾動項分佈的假設中GED分佈在99％置信水平下的失敗率偏小，能夠較好地刻畫石油市場收益率分佈的厚尾性，正態分佈也能夠準確地度量國際原油市場價格風險，但較GED分佈容易導緻風險的低估，而t分佈的測度過于保守，僅適閤于石油市場劇烈振盪的時期；WTI市場收益率的條件異方差性比Brent市場更為顯著，攷察期內平均和最大的VaR值大于Brent市場，髮生極耑風險事件的可能性大于Brent市場，而Brent市場在95％置信水平下的失敗率顯著高于WTI市場，髮生風險事件的頻率高于WTI市場。
감우국제원유시장대아국경제적중대영향，대미국WTI원유현화시장화구주Brent원유현화시장적유개파동주료기우GARCH모형적개격풍험실증연구。결과표명，삼충우동항분포적가설중GED분포재99％치신수평하적실패솔편소，능구교호지각화석유시장수익솔분포적후미성，정태분포야능구준학지도량국제원유시장개격풍험，단교GED분포용역도치풍험적저고，이t분포적측도과우보수，부괄합우석유시장극렬진탕적시기；WTI시장수익솔적조건이방차성비Brent시장경위현저，고찰기내평균화최대적VaR치대우Brent시장，발생겁단풍험사건적가능성대우Brent시장，이Brent시장재95％치신수평하적실패솔현저고우WTI시장，발생풍험사건적빈솔고우WTI시장。
For the great influence of world＇s crude oil market on China, this paper studies WTI and Europe Brent crude oil market empirically with GARCH model to estimate the market risk. The results show a lower failure rate at 99% of confidence level in the GED distribution compared with the other two distribution assumptions, so GED distribution can better describe the fat tails of crude oil. Normal distribution is also able to measure world crude oil market risk, although it may lead to underestimation. However, Student＇s t -distribution is too conservative and is only suitable for severely volatile period. In WTI market, conditional volatility is greater than that in Brent market, and so is the largest VaR in the study period, thus the extreme risk events more likely happen. On the contrary, in Brent market, the failure rate is much higher than that in WTI at 95% of confidence level, which means higher frequency in the occurrence of risk events.
