中国原油期货与国际原油期货的价格波动溢出效应及其持续性——基于BEKK-MGARCH模型的研究

The Price Volatility Spillover Effect and Its Sustainability between Chinese Crude Oil Future and International Crude Oil Futures——Based on the BEKK-MGARCH Model

针对中国原油期货与国际原油期货间的价格波动溢出效应及其持续性进行了研究。鉴于BEKK模型在刻画多市场间波动溢出效应及其方向性方面具有显著优势,本文首先构建了关于WTI、Brent和INE的三元BEKK-MGARCH模型;以十组交割期限不同的合约数据为样本,实证探讨了三者间的波动溢出效应及其方向性;结合BEKK系数矩阵估计方法及IGARCH、Wald检验,建立了三种原油期货之间的波动溢出持续性检验方法,并对其检验结果进行了比较分析。研究发现:INE与WTI、Brent之间存在显著且持续的双向波动溢出效应,且以GARCH波动溢出效应为主;相较Brent而言,WTI对INE的ARCH波动溢出效应更为显著,而Brent对INE则表现出较显著的GARCH波动溢出效应;INE对WTI(或Brent)的波动溢出效应总体上更为显著,且波动溢出效应持续时间较长,呈减弱趋势。

The price volatility spillover effect and its sustainability between Chinese crude oil future and international crude oil futures arc studied.In view of BEKK model’s significant advantages in depicting the volatility spillover effect and direction of multi-markets, we construct a ternary BEKK-MGARCH model of WTI,Brent and INE firstly in this study.Taking ten groups of contract data with different delivery dates as the samples, we empirically discuss the volatility spillover effect and its direction among the three crude oil futures.Based on the estimation method BEKK coefficient matrix,IGARCH and Wald test, three methods to test the persistence of volatility spillover between the three arc established, and we make a comparative analysis of these test results.It is found that there is a significant and sustained bidirectional volatility spillover effect between the two of INE,WTI and Brent,and GARCH volatility spillover effect is the main one.Additionally, compared with Brent,the ARCH volatility spillover effect of WTI to INE is more significant,while Brent shows a further GARCH volatility spillover effect to INE.The results indicate that the volatility spillover effect of INE on WTI(or Brent) is more generally significant,and its duration is much longer,showing a weakening trend.