摘要
国际原油是资本市场兵家必争之地,原油价格受很多不确定因素影响,且各个因素之间的相关关系错综复杂,因此要从理论上彻底弄清楚原油指数的变化机理十分困难。然而原油指数是一个运动的、特殊的系统,它必然存在着规律。本文基于ARIMA-GARCH金融时间序列理论,对WTI波动率进行实证分析,经过平稳性检验、ARIMA参数选择、ARCH效应检验和GARCH模型优化,建立了ARIMA-GARCH预测模型,通过预测值与真实值的对比认为ARIMA-GARCH模型可以很好拟合WTI波动率并且进行短期预测。
Crude oil is a vital factor in the capital market. Crude oil prices are affected by many uncertain factors. The correlation between the various factors is intricate. Therefore, it is very difficult to find out the change mechanism of crude oil index completely in theory. However, crude oil index is a dynamic special system, so there must be law in it. Based on the ARIMA-GARCH financial time series theory, this paper analyzes the WTI volatility. The ARIMA-GARCH forecasting model is established through the test of the stability, ARIMA parameter selection, ARCH effect test and GARCH model optimization. By comparing the prediction and real value , it is argued that ARIMA-GARCH model can well fit WTI volatility and make short-term prediction.
出处
《价值工程》
2017年第2期38-39,共2页
Value Engineering
基金
东北石油大学青年基金项目资助
<基于R-Couple-Beta的量化投资策略研究与股票程序化交易软件开发>
项目号:NEPUQN2015-1-19
审批机构:东北石油大学
校青年基金
