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能源金融作为一种崭新的金融形态,已成为世界经济的重要分支,如何度量能源金融的风险已经成为金融风险管理的全新课题。本文利用偏t分布下的GARCH族模型对北美天然气价格的波动进行实证分析。并使用最近非常流行的DaR(Drawdown at Risk,风险跌幅)作为天然气价格的风险度量指标,并使用模型对未来跌幅风险进行预测。研究结果表明,基于偏t分布下的GARCH族模型较好地反映出天然气价格波动的各种特点,而且经模型测算的动态DaR值能够准确地表现出能源金融收益率的实际跌幅风险。
As a brand new financial form, energy finance has become an important branch of the world economy. How to measure the risk of energy finance has become a new topic of financial risk management. In this paper, we use the GARCH family model under partial t distribution to analyze the volatility of North American natural gas prices. And use the recently popular DaR (Drawdown at Risk) as a measure of risk for natural gas prices and use models to predict future declines. The results show that the GARCH model based on partial t distribution can well reflect various characteristics of natural gas price volatility, and the dynamic DaR value measured by the model can accurately show the real risk of decline in energy financial yield.