摘要
文中首次利用ADLM-GARCH-BEKK模型,分析了安哥拉、俄罗斯和大庆原油市场间的波动溢出效应与动态相关性。实证结果表明:第一,在90%的置信水平下,大庆和安哥拉原油市场间存在着双向的波动溢出效应;而在95%的置信水平下,仅存在从大庆到安哥拉原油市场和大庆到俄罗斯原油市场的单向波动溢出效应。第二,大庆和安哥拉原油市场以及大庆和俄罗斯原油市场之间具有较小的正相关性,并有逐步提高的趋势。上述分析结果将有助于预测国内原油市场的走势,为我国原油政策的制定提供参考。
This paper firstly applies ADLM-GARCH-BEKK model to analyze the volatility spillover effects and dynamic correlation among Angola,Russia and Daqing crude oil market.The empirical results show that there are bidirectional volatility spillover relations between Angola and Russia crude oil markets at 90% confidence level.But there exist unilateral volatility spillover from Daqing to Angola crude oil market and Daqing to Russia crude oil market at 95% confidence level.Besides,there are smaller positive correlation between Daqing and Angola crude oil market,Daqing and Russian crude oil market.The correlation coefficient is gradually increasing.The results will help predict the trend of the domestic crude oil market and provide a reference for policy making of crude oil.
出处
《华北电力大学学报（社会科学版）》
2012年第5期1-5,共5页
Journal of North China Electric Power University(Social Sciences)
基金
国家自然科学基金"发电行业初始碳排放权分配及二级市场交易优化模型研究"(项目编号:71201056)
国家自然科学基金"节能减排目标下发电绩效置换交易优化模型与方法研究"(项目编号:71071053)
中央高校基本科研业务费专项资金
关键词
原油市场
波动溢出效应
动态相关性
crude oil market
volatility spillover effects
dynamic correlation
