重庆理工大学学报（自然科学版）2016，Vol.30Issue(3)：51-56,6.DOI:10.3969/j.issn.1674-8425(z).2016.03.009
基于 ACARR 模型的布伦特原油价格波动研究
Volatility Analysis of Brent Crude Oil Price Based on ACARR Model
摘要
Abstract
This paper used ACARR model to study the volatility of Brent crude oil price by analyzing the price range data. We assumed that the residual items of ACARR model follow standard exponential distribution, standard Weibull distribution and standardized generalized Gamma distribution respectively. From the empirical results,we conclude that:firstly,the upside range and downside range of crude oil price don’t follow normal distribution and asymmetry;secondly,both the upside range and downside range of Brent crude oil prices are persistent;Finally,both the upside range and downside range of Brent crude oil prices have stronger long-term impact effect of shocks than short-term impact effect of shocks.关键词
ACARR模型/布伦特原油/正向极差/负向极差Key words
ACARR model/Brent crude oil/upside range/downside range分类
数理科学引用本文复制引用
郭名媛,蒲赢健..基于 ACARR 模型的布伦特原油价格波动研究[J].重庆理工大学学报（自然科学版）,2016,30(3):51-56,6.基金项目
国家社会科学基金资助项目 （）
