我国燃油期货市场的波动率预测模型
发布时间：2018-08-30 20:44
【摘要】：准确描述和预测石油及其相关产品的价格波动对各国政府能源政策的制定以及能源风险管理工作意义重大。文章以上海期货交易所燃油期货的15分钟高频价格数据为例,实证计算了三类代表性波动率模型:已实现波动率模型、随机波动模型以及GARCH族模型对我国燃油期货价格波动的预测值,同时,采用多种损失函数对比了三类波动率模型。实证结果表明,基于高频数据的已实现波动率模型对我国燃油期货市场具有最好的波动预测精度。而就基于日数据的模型而言,随机波动模型要明显强于GARCH族模型。
[Abstract]:Accurately describing and predicting the price fluctuation of petroleum and its related products is of great significance to the formulation of energy policy and energy risk management. Taking the 15-minute high frequency price data of fuel futures in Shanghai Futures Exchange as an example, this paper empirically calculates three kinds of representative volatility models: realized volatility model. The stochastic volatility model and the GARCH family model are used to predict the volatility of fuel futures in China. At the same time, three kinds of volatility models are compared by using a variety of loss functions. The empirical results show that the realized volatility model based on high frequency data has the best volatility prediction accuracy for China's fuel futures market. For the model based on daily data, the stochastic volatility model is stronger than the GARCH family model.
【作者单位】： 西南交通大学经济管理学院;
【基金】：国家自然科学基金资助项目(71071131)
【分类号】：F224;F426.22;F724.5
本文编号：2214240
[Abstract]:Accurately describing and predicting the price fluctuation of petroleum and its related products is of great significance to the formulation of energy policy and energy risk management. Taking the 15-minute high frequency price data of fuel futures in Shanghai Futures Exchange as an example, this paper empirically calculates three kinds of representative volatility models: realized volatility model. The stochastic volatility model and the GARCH family model are used to predict the volatility of fuel futures in China. At the same time, three kinds of volatility models are compared by using a variety of loss functions. The empirical results show that the realized volatility model based on high frequency data has the best volatility prediction accuracy for China's fuel futures market. For the model based on daily data, the stochastic volatility model is stronger than the GARCH family model.
【作者单位】： 西南交通大学经济管理学院;
【基金】：国家自然科学基金资助项目(71071131)
【分类号】：F224;F426.22;F724.5
【相似文献】
相关期刊论文 前10条
1 魏宇;;沪深300股指期货的波动率预测模型研究[J];管理科学学报;2010年02期
2 ;[J];;年期
3 ;[J];;年期
4 ;[J];;年期
5 ;[J];;年期
6 ;[J];;年期
7 ;[J];;年期
8 ;[J];;年期
9 ;[J];;年期
10 ;[J];;年期
，本文编号：2214240
本文链接：https://www.wllwen.com/jingjilunwen/qihuoqq/2214240.html
