School of Mathematics and Physics, University of Science and Technology Beijing
Center for Energy and Environmental Policy Research, School of Management and Economics, Beijing Institute of Technology

对国际原油市场价格风险进行精确度量,有利于规避风险,稳定经济。股票市场的不对称波动会对原油市场产生不同的溢出效应,因此对广义自回归条件异方差模型(GARCH)和门限GARCH模型(TGARCH)进行改进,分析股票市场对原油市场的不对称溢出效应并度量原油市场风险。首先,提出不对称波动提取方法用以确定4种波动。其次,建立时变波动GARCH模型(BVGA)和时变波动TGARCH模型(BVTGA),分析股票市场对原油市场的不对称溢出效应。最后,计算风险价值(VaR),度量原油市场风险。结果表明:原油市场波动具有长记忆性和杠杆效应,且外部市场对原油价格波动具有较强的持续性的影响。股票价格的缓慢波动会加剧原油价格波动,且上行影响大于下行影响。本研究可以为稳定原油市场和风险管理提供政策启示。

A precise measure of risk in the crude oil market is beneficial for risk aversion and economic stabilization. Asymmetric fluctuations in the stock market have different spillover effects on the crude oil market, so we improve the generalized autoregressive conditional heteroskedasticity model (GARCH) and threshold GARCH model (TGARCH) to analyze the asymmetric spillover effects of the stock market on the crude oil market and to measure the crude oil market risk. First, an asymmetric volatility extraction method is proposed to identify four types of volatility. Second, a time-varying volatility GARCH model (BVGA) and a time-varying volatility TGARCH model (BVTGA) are developed to analyze the asymmetric spillover effects of the stock market on the crude oil market. Finally, the value-at-risk (VaR) is calculated to measure the crude oil market risk. The results show that crude oil market volatility has a long memory and leverage effect, and the external market has a strong and persistent influence on crude oil price volatility. Slow fluctuations in stock prices exacerbate crude oil price volatility, and the upside effect is greater than the downside effect. This study can provide policy implications for stabilizing the crude oil market and risk management.

李明芳, 徐弋然, 赵鲁涛. 国际原油市场价格风险研究——基于股票市场的不对称溢出效应. 煤炭经济研究. 2024, 44(5): 6-14

LI Mingfang, XU Yiran, ZHAO Lutao. Crude oil marketpricerisk measurement study-asymmetric spillover effects based on stock markets. Coal Economic Research. 2024, 44(5): 6-14