Empirical Analysis of ARCH Family Models on Oil Price Fluctuations

Shen, Shichang (2021) Empirical Analysis of ARCH Family Models on Oil Price Fluctuations. Applied Mathematics, 12 (04). pp. 280-286. ISSN 2152-7385

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Abstract

This paper selects the daily data of national oil prices from January 2, 2014 to February 28, 2019, establishes an ARMA (2, 0) model, and tests its residuals for ARCH effects. Finally, the TARCH (1, 1) model is determined to quantitatively analyze the volatility of the crude oil market.

Item Type: Article
Subjects: Opene Prints > Mathematical Science
Depositing User: Managing Editor
Date Deposited: 28 Dec 2022 06:10
Last Modified: 03 Jan 2024 06:44
URI: http://geographical.go2journals.com/id/eprint/447

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