基于GARCH模型的天然气期货价格波动特征分析

Analysis of Fluctuation Characteristics of Natural Gas Futures Price Based on a GARCH Model in China

在“双碳”目标的大背景下,天然气在我国能源消费结构中的占比逐年上升。本文选取2010年1月4日到2023年2月3日的纽约商品交易所(NYMEX)天然气期货价格的结算价数据,通过建立GARCH模型来分析天然气期货的价格波动特征,并运用VaR模型对天然气期货的风险测度进行分析。研究发现:天然气期货价格收益率存在显著的ARCH效应,通过建立GARCH与GARCH-M两种模型研究发现天然气期货价格收益率的波动存在聚集性并且价格受到一定影响冲击后波动持续影响时间较长,同时天然气期货市场具有高风险高回报性;美国天然气期货市场价格的VaR风险值也具有连续性和波动聚集效应,VaR-GARCH模型在90%和95%的显著性水平下对美国天然气期货市场的风险进行度量,在一定置信水平下通过了失败率检验,因此,对于期货市场当中无论是风险承受能力较高还是风险承受能力较低的参与者,VaR-GARCH模型均可以进行风险的度量,从而在一定程度上规避风险。根据研究结果,提出如下建议:增加国内天然气开发供给,保障能源安全;加快推出国内天然气期货,建立完善国内天然气期货市场;强化管网运营协调管理与健全储气设施市场化运营;推进能源高水平对外开放,同时密切监测发达国家尤其是美国经济指标动态。

Under the background of “double carbon” target, the proportion of natural gas in China’s energy consumption structure is increasing year by year. This paper selected the settlement price data of natural gas futures price on the New York Mercantile Exchange (NYMEX) from January 4, 2010 to February 3, 2023, analyzed the price fluctuation characteristics of natural gas futures by establish-ing GARCH model, and used VaR model to analyze the risk measurement of natural gas futures. It is found that there is a significant ARCH effect in the price yield of natural gas futures. Through estab-lishing GARCH model and GARCH-M model, it is found that the volatility of the price yield of natural gas futures is clustered, and it will last a long time after the price is impacted. The natural gas fu-tures market is also full of high risk and high return. The VaR of the price of the U.S. natural gas fu-tures market also has continuity and wave aggregation effect. The VaR-GARCH model measured the risk of the U.S. natural gas futures market at a significant level of 90% and 95%, and passed the failure rate test at a certain confidence level. Therefore, for the participants in the futures market, whether they have high or low risk tolerance, the VaR-GARCH model can measure the risk, so as to avoid the risk to a certain extent. According to the research results, the following suggestions were put forward: increase the development and supply of natural gas in China to ensure energy security;accelerate the issuance of China’s natural gas futures, establish and improve the domestic natural gas futures market;strengthen the coordinated management of pipeline network operation and improve the market-oriented operation of gas storage facilities;promote high-level opening up of energy, and closely monitor the economic indicators of developed countries, especially the United States.