【摘 要】
：
油价的预测向来是一项具有重要意义而又艰巨的课题.利用Hull-White模型对油价波动进行预测是一种有意义的尝试,在尝试过程中,发现其在实际应用中的缺陷,之后利用二叉树模型对
【机 构】
：
辽东学院经济学院,中国石油大学(北京)中国能源战略研究院,振华石油控股有限公司,
论文部分内容阅读
油价的预测向来是一项具有重要意义而又艰巨的课题.利用Hull-White模型对油价波动进行预测是一种有意义的尝试,在尝试过程中,发现其在实际应用中的缺陷,之后利用二叉树模型对Hull-White模型做了改进,并以1986年1月3日至2010年2月12日共一千两百多周的周油价数据作为参考值,用定量的方法分析了改进模型的应用,从结果可以看出,Hull-White模型和改进模型都能够有效预测油价的波动范围.但是,改进模型在预测油价波动范围上与原先的Hull-White模型相比有更好的效果.并且具有优势.
Prediction of oil price has always been an important and arduous task.Using the Hull-White model to predict oil price volatility is a meaningful attempt, in the attempt to find its defects in practical applications, and then use The binary tree model is used to improve the Hull-White model. Based on the weekly oil price data from January 3, 1986 to February 12, 2010, a total of 1,200 weekly oil prices were used as a reference to quantitatively analyze the improved model The results show that both the Hull-White model and the improved model can effectively predict the fluctuation range of the oil price.However, the improved model has a better effect than the original Hull-White model in predicting the fluctuation range of the oil price.And Advantages.
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