Analysis of the Fluctuation of Chinese Crude Oil Futures- Based on GARCH-type Model

DOI

10.2991/msam-18.2018.25How to use a DOI?

Keywords

Chinese crude oil, GARCH, TARCH, ARCH-test

Abstract

On March 26, 2018, Chinese crude oil futures start online trading in Shanghai futures exchange, a subsidiary of Shanghai international energy trading center. Chinese crude oil futures are expected to balance the current benchmark prices of WTI and brent .This study aims at analyzing the Chinese high frequency crude oil price. In this study, GARHC-type models are used namely GARCH and TARCH for modelling the high frequency Chinese crude oil yield. It is concluded that the TARCH model performs well as compared to GARCH models. At last, the VaR of the crude oil yield in the next day is calculated for comparative analysis.

Copyright

© 2018, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Hongguo Sun
AU  - Wenhui Li
PY  - 2018/07
DA  - 2018/07
TI  - Analysis of the Fluctuation of Chinese Crude Oil Futures- Based on GARCH-type Model
BT  - Proceedings of the 2018 3rd International Conference on Modelling, Simulation and Applied Mathematics (MSAM 2018)
PB  - Atlantis Press
SP  - 110
EP  - 112
SN  - 1951-6851
UR  - https://doi.org/10.2991/msam-18.2018.25
DO  - 10.2991/msam-18.2018.25
ID  - Sun2018/07
ER  -