| 国内外原油市场收益率及其波动性的双长记忆性测度 |
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| 引用本文： | 吴翔,刘金全,隋建利. 国内外原油市场收益率及其波动性的双长记忆性测度[J]. 技术经济, 2009, 28(4): 102-108 |
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| 作者姓名： | 吴翔 刘金全 隋建利 |
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| 作者单位： | 吉林大学,数量经济研究中心,长春,130012 |
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| 基金项目： | 教育部人文社会科学重点研究基地重大项目,吉林大学面向21世纪教育振兴行动计划（985计划）研究生创新计划重点项目 |
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| 摘 要： | 本文基于我国原油现货价格和欧洲Brent原油现货价格的数据,运用多种计量模型对原油市场收益率及其波动性的长记忆性进行测度。研究发现,我国原油市场收益率序列不存在长相依性特征,波动率序列则存在长记忆性效应;国外原油市场收益率及波动率序列均存在显著且较强的长记忆性。同时,检验结果表明,采用Student-t分布来刻画"尖峰厚尾"分布性质并利用TGARCH模型来描述"杠杆效应"是非常必要的。
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| 关 键 词： | 长记忆性 原油市场收益率 ARFIMA-FIGARCH模型 |
Empirical Study on Dual Long Memory of International and Domestic Crude Oil Market Return Rate and Volatility |
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| Wu Xiang,Liu Jinquan,Sui Jianli. Empirical Study on Dual Long Memory of International and Domestic Crude Oil Market Return Rate and Volatility[J]. Technology Economics, 2009, 28(4): 102-108 |
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| Authors: | Wu Xiang Liu Jinquan Sui Jianli |
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| Affiliation: | Quantitative Research Center of Economics;Jilin University;Changchun 130012;China |
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| Abstract: | Based on newly proposed methods,this paper studies the dual long memory of international and domestic crude oil market return rate and volatility.The results show that there exists no long memory property in the first moment of the domestic crude oil market return rate,but the long memory property is significant to the second moment of the domestic crude oil market return rate.Moreover,the long memory properties are significant to both the first moment and the second moment of the international crude oil ma... |
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| Keywords: | long memory crude oil market return rate ARFIMA-FIGARCH model |
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