基于GARCH模型的WTI原油现货市场的风险分析

Risk measures for WTI spot market based on GARCH model

国际石油市场风险对我国经济的发展具有重大的影响,由于石油风险往往表现为石油价格的频繁波动和难以预测,文章选取美国WTI原油现货市场为分析对象,将原油价格序列分成波动时期和平稳时期,运用GARCH模型来研究收益率在尖峰厚尾分布(t分布、GED分布)下的VaR值,通过实证分析发现不同长度的时间序列对不同时期石油价格风险衡量的精确度具有不同的影响,而且在衡量石油风险方面GED分布下的模型要比t分布模型更优。研究结果为公司和机构投资者提高石油风险管理水平提供了新视角。

The risk of international oil market has a great impact on the development of Chinese econo- my, and the oil market risk is often showed as the frequent fluctuation of oil prices and the difficulty in predicting. Taking the WTI spot market as analysis object, the crude oil sequence is divided into fluc- tuation period and stable period. The GARCH model is used to study the Value-at-Risk（VaR） value of the return rate under the peak thick tail distribution（t distribution and GEl） distribution）, and through the comparison, it is shown that different length of oil series has different effect on the meas- ure accuracy of oil risks under different period. Besides, the model under the GED distribution per- forms better than the model under t distribution when it comes to measure the oil risk, thus giving the company and institutional investors a relatively new perspective to improve oil risk management level.