淡江大學機構典藏:Item 987654321/31708
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    題名: 國際原油現貨報酬率之探討 : BEKK 多變量GARCH模型之應用
    其他題名: The dynamic relationship among the returns of international crude oil spots-using BEKK multivariate garch model
    作者: 王瑤琴;Wang, Yao-chin
    貢獻者: 淡江大學財務金融學系碩士在職專班
    邱建良;Chiu, Chien-liang
    關鍵詞: 多變量GARCH模型;衝擊反應函數;外溢效果;Multivariate GARCH Model;Volatility Spillover;Impulse Response Function
    日期: 2007
    上傳時間: 2010-01-11 01:09:35 (UTC+8)
    摘要: 本研究應用一般正定多變量GARCH模型，探討國際油價大漲前後布蘭特原油、西德州原油與杜拜原油等三種國際原油現貨報酬率的動態關連，最後並以衝擊反應函數分析跨期動態效果。
    實證結果顯示：(1)布蘭特原油現貨報酬率與西德州原油現貨報酬率間之相互影響較強烈且兩者之相互影響力在油價大漲後增加；而杜拜原油現貨報酬對其餘兩原油現貨報酬率之影響力相對較弱。(2)外溢效果方面，油價大漲前個別市場前期未預期報酬率的衝擊對另一市場之波動多產生正向影響，但油價大漲後，則正負皆具。(3)在衝擊反應的分析中各原油現貨報酬率面對自身或其餘兩市場衝擊的反應期間在油價大漲後均拉長。由此證明油價大漲前後動態關係之差異性極大，值得做為市場參與者參考。
    In this study, we apply the BEKK multivariate GARCH model, proposed by Engle and Kroner (1995), to analyze the relationships among the Brent crude oil return, the West Texas Intermediate crude oil return and the Dubai crude oil return. The sample period is divided into before uptrend and during uptrend two sub-periods. First, we deeply analyze dynamic relationships of three crude oil returns. Moreover, we use impulse response function to analyze the dynamic effect when one variable’s innovation occurred.
    The results show that the return of Brent and WTI affect each other strongly especially during uptrend period. For spillover effect, the unexpected impulse occur positive effect to other markets before uptrend period. However, the result is inconsistent during up-trend period. Finally, for impulse response function, we found the impulse reflection period obviously extended when facing itself or other markets, during uptrend period. Thus, we prove that the dynamic relationships and impulse response function of three returns between oil price uptrend and during uptrend is obviously different.
    顯示於類別:[財務金融學系暨研究所] 學位論文

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