Proceedings of the 2018 3rd International Conference on Modelling, Simulation and Applied Mathematics (MSAM 2018)

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

Authors
Hongguo Sun, Wenhui Li
Corresponding Author
Hongguo Sun
Available Online July 2018.
DOI
https://doi.org/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/).

Download article (PDF)

Volume Title
Proceedings of the 2018 3rd International Conference on Modelling, Simulation and Applied Mathematics (MSAM 2018)
Series
Advances in Intelligent Systems Research
Publication Date
July 2018
ISBN
978-94-6252-566-5
ISSN
1951-6851
DOI
https://doi.org/10.2991/msam-18.2018.25How to use a DOI?
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/).

Cite this article

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  - https://doi.org/10.2991/msam-18.2018.25
ID  - Sun2018/07
ER  -