基于C-STGARCH模型的大庆原油现货价格波动研究

Study on Volatility About Daqing Crude Oil Spot Price Based on C-Stgarch Model

引用Dueker等(2011)提出的同期门槛平滑转换广义自回归条件异方差(C-STGARCH)模型对我国大庆原油现货价格的波动状态进行了实证分析,以求对大庆原油现货价格的波动有一个新的、更深刻的量度.研究显示:第一,大庆原油现货价格的波动是不稳定的,并且存在显著的非对称和非线性现象;第二,CSTGARCH模型能很好地刻画大庆原油现货价格波动的这些现象,并且发现油价的波动以3.738%为门槛点存在高波动区和低波动区两种状态,低波动区的波动持续性比高波动区强,然而,对平滑转换持续性的影响方面,高波动区要略大于低波动区.

Accurate analysis of the crude oil price volatility has become the main topics of the Scholars and Managers. This research is to investigate the asymmetric volatility effects of Daqing crude oil spot price. Contemporaneous-Threshold Smooth Transition GARCH（C - STGARCH）model proposed by Ducker et a1（2011）, is used for capturing the price volatility behavior. Our findings indicate that： first, Daqing crude oil spot price volatility is not a stable series during the sample period, and we can find the volatility is asymmetric and nonlinear. Second, form the empirical models, we find that the crude oil price volatility exist high regime and low regime, the threshold value is 3.738%,The response to the lagged squared shock is much more substantial in low regime than in high regime. Nevertheless, the estimated regime-specific persistence parameter is greater for high regime than for low regime.