Empirical Analysis of ARCH Family Models on Oil Price Fluctuations - Applied Mathematics

AM > Vol.12 No.4, April 2021

Applied Mathematics

Volume 12, Issue 4 (April 2021)

ISSN Print: 2152-7385 ISSN Online: 2152-7393

Google-based Impact Factor: 0.58 Citations

Empirical Analysis of ARCH Family Models on Oil Price Fluctuations ()

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Download as PDF (Size: 1180KB) PP. 280-286

DOI: 10.4236/am.2021.124019 272 Downloads 841 Views

Author(s)

Shichang Shen

Affiliation(s)

School of Mathematics and Statistics, Qinghai Nationalities University, Xining, China.

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.

KEYWORDS

Oil Price, ARMA Family Model, Leverage Effect

Share and Cite:

Shen, S. (2021) Empirical Analysis of ARCH Family Models on Oil Price Fluctuations. Applied Mathematics, 12, 280-286. doi: 10.4236/am.2021.124019.

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