TITLE:
Empirical Analysis of ARCH Family Models on Oil Price Fluctuations
AUTHORS:
Shichang Shen
KEYWORDS:
Oil Price, ARMA Family Model, Leverage Effect
JOURNAL NAME:
Applied Mathematics,
Vol.12 No.4,
April
16,
2021
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.