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世界石油期货价格是否存在价格的波动性随到期日的临近而上升的趋势,对于投机商和市场监管都至关重要.研究根据中外石油期货合约的收盘价格得到较为平稳的日收益率,以37个合约的收益率为样本,分别建立时间序列ARM A主模型,并进一步建立带“到期时间”哑变量的GARCH模型.实证分析了世界石油期货收益率的到期日效应.在分析产生到期日效应原因的时,建立了带“成交量”与“国际价格”变量的GARCH模型,对成交量与国际石油期货价格对中国期货价格到期日的影响进行研究.
Whether the world oil futures price exists The tendency that the price volatility rises with the expiration of the expiration date is crucial for the speculators and market supervision.The study obtains a relatively steady daily rate of return according to the closing prices of Chinese and foreign oil futures contracts, The yield of 37 contracts is a sample, and the time series ARM A main model is established respectively, and a GARCH model with “expiration time” dummy variables is further established. The maturity effect of the world oil futures return rate is empirically analyzed. When analyzing the causes of maturity effects, a GARCH model with “volume ” and “international price ” variables was established to study the impact of trading volume and international oil futures prices on the maturity of China’s futures prices .