摘要:原油是在地球岩层中发现的天然存在的和易燃的液体。除了其它有机化合物外，它还由不同碳氢化合物混合组成。原油是战略资源和重要的化工原料，不仅是国家经济安全运行的能源保障，也是石油相关企业的稳定发展。经济和金融全球化的趋势越来越强，由于原油的两个特性--不可再生性和稀缺性导致了各国日益激烈的争夺，紧随其后的是各国的战争和政治摩擦，对国际原油价格造成了严重的冲击，形成了价格大幅的震荡。由于对原油的巨大需求，但也包括了准金融性，加上金融市场不稳定，投资行为不科学，使得国际原油市场充满了风险。原油价格的大幅波动使市场参与者、金融工作者和决策者感到不适。在这种情况下，如何正确描述国际原油的价格波动，并确定未来原油的收益率已成为关注的热门话题之一。因此，对国际油价波动的研究具有重要的理论意义和现实应用价值。四十多年以来，原油价格预测在全球引起了人们的兴趣。这种对原油现货价格的兴趣主要是由于产品的波动性导致了该系列产品的分销。这种能源商品的价格一直非常不稳定。由于原油价格波动影响其他行业和股市，未来原油价格的预测变得至关重要。本文的目的是应用GARCH模型在原油时间序列建模，以说明这些非线性模型的优势，我们拟合三个GARCH模型; GARCH-N，GARCH-t和GARCH-G预测原油价格。找出预测原油价格的最佳模型。81881

毕业论文关键字： 国际原油；价格波动；时间序列；GARCH模型

Abtract Crude oil is a naturally occurring and flammable liquid found in earth formations。 In addition to other organic compounds, it is also composed of complex mixtures of various hydrocarbons。 Crude oil is an important strategic resource and chemical raw materials, not only the health of various sectors of the national economy to run the energy security, but also affect the stable development of crude oil-related enterprises。 Economic and financial globalization trend is increasingly strong, the scarcity of crude oil and non-renewable lead to the increasingly fierce snatch of countries, followed by the war and the political friction of the country strongly affected the international crude oil price shocks due to crude oil Demand is high, and its quasi-financial, coupled with unstable financial markets, unscientific investment behavior, making the international crude oil market is full of high risk。 Crude oil prices so violent, so that market participants, financial workers And policy makers feel at a loss。 In this case, how to accurately describe the international crude oil price fluctuations and determine the future rate of return of crude oil has become a hot topic for scholars and investors are widely concerned Therefore, the international crude oil Volatility of its research has important theoretical significance and application value。 For more than 40 years, crude oil price forecasts have attracted interest in the world。 This interest in crude oil spot prices is mainly due to the volatility of the product led to the distribution of the series of products。 The price of this energy commodity has been very unstable。 As crude oil price fluctuations affect other industries and the stock market, the future forecast of crude oil prices become critical。 The purpose of this paper is to apply the GARCH model to the crude oil time series modeling to illustrate the advantages of these nonlinear models。 We fit three GARCH models; GARCH-N, GARCH-t and GARCH-G predict crude oil prices。 Find the best model for predicting crude oil prices。

Key words: International Crude Oil; Price Volatility;Forecating; Time Series  and GARCH Model

目录

1 绪论 - 1 -

1。1 课题的研究背景及意义