基于ARMA-APARCH-SGED模型的原油价格风险度量研究

ARMA-APARCH-SGED Model with Application in Risk Measurement of Crude Oil Price

从原油现货市场收益率的特征分析着手,为了更好地描述原油现货市场收益率的尖峰厚尾、偏态和波动集聚等特性,利用APARCH模型来刻画收益率的波动性,同时利用Skew GED(SGED)分布来描述收益率的概率分布特征;进而运用ARMA-APARCH-SGED模型对原油现货市场收益率的VaR进行估计和分析,并与基于Skew-t和GED分布的ARMA-APARCH模型进行比较。通过返回检验,结果表明,AR-MA-APARCH-SGED模型能更加准确地度量原油现货市场的风险价值。

Based on the characteristics of the returns of crude oil price, and in order to accurately describe the characteristics of fat-tails, leptokurtosis, skewness and volatility, this paper uses APARCH model to model the volatility and uses skew GED to model the probability distribution of the returns. Therefore, this paper proposes to use the ARMA-APARCH-SGED model to estimate and analyze the VaR of the returns of the crude oil price, and compares the result with the results obtained by other ARMA-APARCH model using skew-t and GED distributions. Based on the back testing, the results show that the ARMA-APARCH-SC-ED model can more accurately estimate the VaR.