基于ARMA-GARCH-M模型的石油价格市场风险与收益关系研究

Research on the Relationship Between Return and Risk in the Market of Oil Price Based on ARMA-GARCH-M Model

通过对1983年4月8日到2014年3月21日的美国原油价格运用ARMA-GARCHM模型来研究石油价格市场风险与收益关系,得出如下结论:石油价格日收益率具有波动聚集的特征;ARMA-GARCH-M模型能够较好地拟合石油价格的走势;ARMA-GARCHM模型估计结果显示石油市场的收益与风险是正相关的,预期收益包含一定的风险溢价。

By using the ARMA-GARCH-M model to study the relationship between return and risk in the market of oil price from April 8, 1983 to March 21, 2014 in the America crude oil prices, the conclusions are drawed, the daily rate of return on oil price generates volatility clusters; ARMA-GARCH-M model is adaptive in oil price prediction; the results of ARMA-GARCH-M shows that there is a positive relationship between return and risk, and expected return contains some risk premium.