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- W2392746670 abstract "Using daily data of average crude oil price in Chinese Daqing oil market,this paper developed three kinds of GARCH model based on Generalized Error Distribution(GED),i.e.GARCH(1,1),GARCH-M(1,1) and TGARCH(1,1),so as to depict the volatility characteristics of Chinese crude oil price since its unification with the international oil markets.The empirical research result shows that,similar to the international oil market,there also exists significant GARCH effect in the price volatility of Chinese crude oil,and the half-life of its volatility shock is 5 days,shorter than that of the international crude oil.Further analysis indicates that the expected risk about return will have a weak but negative influence on the return with the extent about 8%,which implies that Chinese crude oil market has not been operated in the fashion of pure market economy.In addition,significant leverage effect can be found in the price volatility of Chinese crude oil market.Specifically,downward movements in the oil price will exert about 1.7 times larger impact on the following oil price volatility than that of upward movements with the same magnitude.Finally,these GARCH models based on GED can better describe the price volatility of Chinese crude oil compared with those based on the Normal distribution,and have great power to forecast the future returns." @default.
- W2392746670 created "2016-06-24" @default.
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- W2392746670 date "2007-01-01" @default.
- W2392746670 modified "2023-10-01" @default.
- W2392746670 title "Study on the Characteristics of Chinese Crude Oil Price Volatility Based on GED-GARCH Models" @default.
- W2392746670 hasPublicationYear "2007" @default.
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