| 中国燃料油期货价格波动性研究 |
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| 引用本文： | 钱瑞梅,王永龙.中国燃料油期货价格波动性研究[J].安徽师范大学学报(人文社会科学版),2008,36(2):195-201. |
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| 作者姓名： | 钱瑞梅 王永龙 |
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| 作者单位： | 安徽师范大学,经济管理学院,安徽,芜湖,241003;湖州师范学院,法商学院,浙江,湖州,313000 |
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| 基金项目： | 浙江省社会科学规划项目 |
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| 摘 要： | 分析了中国燃料油期货价格波动的特征和原因.认为波动序列具有尖峰、厚尾和集群性特征.通过GARCH(1,1)模型对上海期交所燃料油期货的价格波动性进行分析,发现:当期的成交量和持仓量对价格波动性具有很好的解释力;滞后的成交量和持仓量不能对价格波动性进行解释;我国燃料油期货市场正逐步向弱式有效市场过渡;燃料油期货价格的波动持续性较弱,反映出这一市场受政策调控影响,市场活跃度不够.
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| 关 键 词： | 燃料油 期货 价格波动性 GARCH |
| 文章编号： | 1001-2435(2008)02-0195-07 |
| 修稿时间： | 2008年3月6日 |
Study of Price Volatility of China Fuel Oil Futures |
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| QIAN Rui-mei,WANG Yong-long.Study of Price Volatility of China Fuel Oil Futures[J].Journal of Anhui Normal University(Humanities and Social Sciences),2008,36(2):195-201. |
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| Authors: | QIAN Rui-mei WANG Yong-long |
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| Abstract: | Analyze the features and reasons of the China fuel oil futures price volatility.Shows that the time series of the price volatility is characterized by leptokurtosis,fat-tail and volatility cluster.Through GARCH(1,1) conclude that the present volume and the present open interest can explain the volatility;the lagged volume and the lagged open interest cannot explain it;the oil futures market is in the transition to weak form efficiency;the oil future market has been in low activity for the impact of the policies according to the weak persistence of the price volatility. |
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| Keywords: | GARCH |
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