摘要
对BRENT原油差价合约(CFD),2005年12月30日至2013年12月6日的日收盘价格进行了统计拟合分析,得出其收益率序列具有尖峰厚尾、条件异方差、波动集聚,投机氛围浓厚等特征.在模型中引入外生变量,美元指数,标准普尔指数,现货黄金,使用用GARCHX模型,得出SP500、黄金对原油差价合约日收益率负相关,美指和原油差价合约日收益率正相关,给出了相应的投资建议.
In this paper a statistical fitting analysis to daily closing price of the BRENT crude oil CFD from December 30, 2005 to December 6, 2013 is carried out. It is concluded that the yield sequence is with rush thick tail, conditional heteroscedasticity and volatility cluster, speculative atmosphere etc. By employing exogenous variables such as the dollar index, standard ＆ poor＇s index and spot gold in the GARCHX model, we find that SPS00 and gold indexes are negatively related to crude oil contracts, and there is a positive correlation between crude oil contracts and the dollar index. Upon the empirical analysis some suggestions to investors are given.
出处
《数学理论与应用》
2015年第3期114-121,共8页
Mathematical Theory and Applications
