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題名 | 原油現貨、期貨與相關產業指數之波動性探討--厚尾跳躍模型之應用=Volatility Investigation for Crude Oil Spot, Futures and Relative Industry Indexes--The Application in Jump Model with Heavy Tail Distribution |
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作者 | 鄭婉秀; 鄭美愛; 鄒易凭; 紀慧君; Cheng, Wan-hsiu; Cheng, Mei-ai; Tzou, Yi-pin; Chi, Hui-chun; |
期刊 | 商管科技季刊 |
出版日期 | 20080300 |
卷期 | 9:1 2008.03[民97.03] |
頁次 | 頁31-50 |
分類號 | 562.1 |
語文 | chi |
關鍵詞 | 原油; 厚尾分配; 跳躍; 波動; Crude oil; Heavy tail distribution; Jump; Volatility; |
中文摘要 | 本文以美國西德州中級原油現貨、期貨與原油相關產業指數為標的,運用厚尾分配之跳躍模型,探討現貨、期貨及產業指數之波動性。實證結果發現,以厚尾分配進行估計是恰當的,尤其針對厚尾情形較顯著之期貨及相關產業股價指數報酬率而言,單以常態跳躍模型估計並不足以描述其波動行為。再者,原油現貨、原油期貨及產業指數報酬率之跳躍多為反映負面消息之衝擊,但其受到異常消息之衝擊隨時間而遞滅。最後,在重大事件的影響方面, 911 事件對三個市場的衝擊大於美伊戰爭之衝擊,其分別對產業指數及原油現貨之衝擊最為直接且強烈。 |
英文摘要 | This paper investigates the volatility for the West Texas Intermediate (WTI) crude oil spot, futures and the relative industry indexes using jump model with heavy tail distribution. The empirical results show that the assumption of heavy tail distribution is necessary in volatility estimation, especially for the futures and industry indexes with significant features of heavy tail. The original jump model with normal distribution cannot capture the behavior of volatility for futures and industry indexes. Moreover, the jumps in these three assets reflect the bad news shocks and the shocks decreases along with time. Finally, in the periods of greater events, the shock of 911 event is stronger than the Iraq war, and the strongest shock occurred in industry indexes and crude oil spot, respectively. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。