摘要
This paper selects the daily data of national oil prices from January 2, 2014 to February 28, 2019, establishes an ARMA (2, 0) model, and tests its residuals for ARCH effects. Finally, the TARCH (1, 1) model is determined to quantitatively analyze the volatility of the crude oil market.
This paper selects the daily data of national oil prices from January 2, 2014 to February 28, 2019, establishes an ARMA (2, 0) model, and tests its residuals for ARCH effects. Finally, the TARCH (1, 1) model is determined to quantitatively analyze the volatility of the crude oil market.
作者
Shichang Shen
Shichang Shen(School of Mathematics and Statistics, Qinghai Nationalities University, Xining, China)
