中国汽油价格波动基于ARCH模型的分析研究

Analysis and Research on the Fluctuations of Chinese Gasoline Prices Based on ARCH Model

本文采用ARCH模型,并使用Eviews10统计学软件,利用2014年到2024年近11年的92号汽油价格,分析中国汽油市场价格的波动性。通过分析北京、上海、广州三个地区的92号汽油价格,表明中国汽油价格残差序列具有明显的“尖峰厚尾”特征,也具有显著的波动性特性。同时也印证了ARCH模型能够很好地描述中国汽油价格市场的波动性特性。本文最后根据实证分析结果,对中国应积极应对国际油价的变化,提出可操作性建议。

This article uses the ARCH model and Eviews 10 statistical software to analyze the volatility of Chinese gasoline market prices by analyzing the price of 92 octane gasoline from 2014 to 2024.By analyzing the price of 92 octane gasoline in Beijing,Shanghai,and Guangzhou,it is shown that the residual sequence of Chinese gasoline prices has obvious“peak thick tail”characteristics and significant volatility.It also confirms that the ARCH model can well describe the volatility characteristics of the Chinese gasoline price market.Finally,based on the empirical analysis results,this article proposes feasible suggestions for China to actively respond to changes in international oil prices.