基于QR-GED-EGARCH模型的国际石油价格影响研究

Research on international oil price based on QR-GED-EGARCH model

本文从实证角度利用GED-EGARCH模型更好地剔除了时间序列序列的波动集聚性,同时发现金融时间序列具有的"杠杆效应",再引入分位数回归构建QR-GED-EGARCH模型来研究美国次贷危机之后标准普尔500指数对石油价格的影响.结果表明,在不同分位点处,标准普尔500指数收益对石油价格收益的影响是存在显著性差异的,且具有一定的经济意义,有助于跨市场交易者了解次贷危机后的市场变化.

This paper uses the GED-EGARCH model to remove the agglomeration of time series from the empirical point of view.At the same time,it finds the"leverage effect"of financial time series.Then it introduces the quantile regression to construct the QR-GED-EGARCH model to study the influence of the S&P 500 on oil prices after the US subprime crisis.The results show that at different quantiles,the impact of S&P 500 index returns on oil price returns is significantly different and has certain economic significance,which helps cross-market traders to understand the market changes after the subprime mortgage crisis.