國際原油投資報酬與資金行情之探討-GARCH模型None

NCUIR > School of Management at National Central University > Executive Master of Industrial Economics > Electronic Thesis & Dissertation > Item 987654321/44187

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/44187

Title:	國際原油投資報酬與資金行情之探討-GARCH模型None
Authors:	葉啟文;Chi-Wen Yeh
Contributors:	產業經濟研究所碩士在職專班
Keywords:	波動性;單根檢定;ARCH;GARCH;原油價格;Crude Oil;Volatility;Unit Root;ARCH;GARCH
Date:	2010-07-05
Issue Date:	2010-12-08 14:53:22 (UTC+8)
Publisher:	國立中央大學
Abstract:	近年來油價不斷創新高,引發通膨的壓力,為從美國房貸金融風暴中好不容易振作起來的全球經濟帶來隱憂,更高的油價對經濟成長產生負向的影響。本研究將探討資金行情效果對國際油價的影響，在利率與匯率影響下，美國西德州原油報酬與英國布蘭特原油報酬的波動性及相關性GARCH分析，樣本研究期間開始自1988年8月1日至2009年5月29日止，共計日資料7607筆，資料來源主要為美國能源局網站及美國聯邦儲備局網站。　　為比較資金行情效果的影響，所以主要以美國西德州原油及英國布蘭特原油為分析對象，又因原油價格為非定態故先以Log方式改為報酬之狀態，結果發現原油報酬資料存在異質變異，採用ARCH模型描述條件變異數，以GARCH模型進行實證研究。　　根據本研究發現，在2004年後的資金行情效果部份，美國聯邦資金利率對西德州原油報酬及布蘭特原油為皆顯著且負向相關，另外，西德州原油報酬對布蘭特原油為正相關，代表西德州原油的波動對布蘭特原油有引導的效果。Gas price continues to break record high causing inflationary pressures. The rising energy prices cause a negative economic impact to the recovery of the U.S. Subprme Mortgage Crisis. Our study will show how Capital Market Effect has an impact to the international oil prices. In addition, the GARCH analysis will focus on the correlation and volatility of West Texas Intermediate (WTI) crude oil return and Brent oil Return. Sample studies are analyzed from total 7,607 number of data and dated back from August 1st 1988 till May 29th 2009 and the main sources of information is from the Federal Reserve’s website and the Bureau of Energy website. We used WTI crude oil and Brent oil as benchmark for analysis of Capital Market Effect. Due to crude oil Price showed as non-stationary, make difference to be return status, the result showed that crude oil return existed heteroskedasticity, we used the model of ARCH to describe the conditional variance, then used the model of GARCH to empirical this study. According to our study, Federal capital interest rate shows an adverse impact on Capital Market Effect after 2004 for West Texas Intermediate (WTI) crude oil return and Brent oil return. Also, the study shows the return of West Texas crude oil has a positive impact to Brent oil means the volatility of West Texas Intermediate (WTI) crude oil prices correlate closely with Brent oil price.
Appears in Collections:	[Executive Master of Industrial Economics] Electronic Thesis & Dissertation

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