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研究生:張甄庭
研究生(外文):Chen-Ting Chang
論文名稱:原油期貨基差之實證研究
論文名稱(外文):An Empirical Study on oil futures basis
指導教授:郭文忠郭文忠引用關係
指導教授(外文):Wen-Chung Kuo
口試委員:陳軒基沈信漢郭文忠張世忠
口試委員(外文):Hsuan-Chi ChenHsin-Han ShenWen-Chung KuoShih-Jong Jang
口試日期:2014-06-30
學位類別:碩士
校院名稱:國立臺北大學
系所名稱:經濟學系
學門:社會及行為科學學門
學類:經濟學類
論文種類:學術論文
論文出版年:2014
畢業學年度:102
語文別:中文
論文頁數:44
中文關鍵詞:期貨基差GLS 模型GARCH 模型EGARCH 模型EGARCH-M 模型樣本外預測金融危機未平倉合約成交量VIX 指數
外文關鍵詞:oil basisAR modelGARCH modelEGARCH modelEGARCH - M modelout-of-sample forecasting
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基差為期貨價格減去現貨價格,在實務操作中常作為短期期貨價格變動之重要參考指標。本論文以西德州原油期貨基差為研究對象,蒐集1993/1/3-2013/11/22期間日資料,探討影響原油基差的重要解釋變數,藉由估計不同的計量模型,包括GLS模型、GARCH模型、EGARCH模型及EGARCH-M模型,進行模型估計與預測。
結果顯示延遲一期的基差、美國信貸危機、原油期貨成交量及原油現貨報酬率於各計量模型估計結果皆顯著且穩定,延遲一期的基差與基差為正相關,係數估計值介於0至0.6之間,表示基差變數有mean reverting現象。此外,信貸危機與基差為正相關,表示信貸危機發生,各家銀行將利率調升,使民眾持有現貨成本增加,故有較高意願購買原油期貨。原油現貨報酬率與原油現貨報酬率為負相關,根據期貨反轉效應,石油現貨價格漲,但期貨價格的成長幅度不如現貨,表示期貨價格有反轉趨勢,使基差值轉小。本論文最後並以樣本外預測結果,比較各實證模型之優劣。

Basis is the difference between oil futures price and oil spot price. In practice basis is an important reference index as the movements of short-term futures prices. In this paper, we collect the daily data of West Texas Intermediate crude oil futures basis over the period January 1993 to November 2013 for research to observe which explanatory variables are impact significance in different time series models such as GLS model、GARCH model、EGARCH model、EGARCH-M model. And observe predicted results of these models. Finally, we compare the result of out-of-sample forecasting.
The investigation results indicate that one lag oil basis, U.S. crisis, oil futures volume and oil spot price returns in every econometric model are significant and stable. Lag one oil basis and basis have a significantly positive correlation; the coefficient is from 0 to 0.6, which means that the basis has a mean reverting phenomenon. Besides, U.S. crisis has a positive correlation with basis, which means that banks raise interest rates when crisis happen, so that investors prefer to buy oil futures because of the cost of spot crude oil is more expensive than before. Oil spot price returns and basis have a significantly negative correlation. Refers to futures reversal effect, oil spot and futures price rising, but the growth rate of futures is less than spot price. It indicates that futures have reversal effect that makes basis become smaller.
目錄
謝辭 ................................ ................................ ................................ ................................ ....................... I
國立臺北大學 102 學年度第二期碩士位論文提要 ................................ ................................ .. II
Abstract AbstractAbstract ................................ ................................ ................................ ................................ ............... III
目錄 ................................ ................................ ................................ ................................ ...................... V
圖目錄 ................................ ................................ ................................ ................................ ................. VI
表目錄 ................................ ................................ ................................ ................................ ................. VI
第一章 緒論 ................................ ................................ ................................ ................................ ........ 1
第一節 研究動機 ................................ ................................ ................................ ........................ 1
第二節 研究目的 ................................ ................................ ................................ ........................ 3
第三節 研究架構 ................................ ................................ ................................ ........................ 3
第二章 文獻回顧 ................................ ................................ ................................ ................................ 6
第一節 能源價格相關文獻 ................................ ................................ ................................ ........ 6
第二節 時間序列模型相關文獻 ................................ ................................ ................................ 8
第三章 研究方法 ................................ ................................ ................................ .............................. 11
第四章 資料介紹與特性 ................................ ................................ ................................ .................. 16
第一節 資料描述 ................................ ................................ ................................ ...................... 16
第二節 單根檢定 ................................ ................................ ................................ ...................... 20
第三節 ARCH ARCH-LM 檢定 ................................ ................................ ................................ .......... 20
第四節 敘述統計 ................................ ................................ ................................ ...................... 21
第五章 實證結果與分析 ................................ ................................ ................................ .................. 23
第一節 GLSGLSGLS模型估計結果 模型估計結果 ................................ ................................ ................................ ..... 23
第二節 GARCH GARCHGARCHGARCH模型估計結果 ................................ ................................ ............................... 24
第三節 EGARCH EGARCH EGARCH模型估計結果 ................................ ................................ ............................ 25
第四節 EGARCH EGARCH EGARCH-M模型估計結果 ................................ ................................ ....................... 26
第五節 基差波動性估計結果 ................................ ................................ ................................ .. 28
第六節 樣本外預測 ................................ ................................ ................................ .................. 28
第六章 結論與建議 ................................ ................................ ................................ .......................... 30
第一節 研究結論 ................................ ................................ ................................ ...................... 30
第二節 研究限制與建議 ................................ ................................ ................................ .......... 31
第七章 參考文獻 ................................ ................................ ................................ .............................. 33
附錄圖表 ................................ ................................ ................................ ................................ ............ 35
中文:
謝淑貞、莊家彰 (2003),「ARCH與價量關係:以新台幣/美元匯率為例」,國立中央大學台灣經濟發展研究中心。
陳建文 (2009),「選擇權資料對EGARCH模型參數估計之影響」,國立中央大學碩士論文。
楊奕農 (2009),「時間序列分析:經濟與財務上之應用 第二版」,雙葉書廊有限公司出版。
廖偉真、雷立芬 (2010),「不同樣本頻率之股市波動性估計-GARCH、TGARCH 與EGARCH 之比較」,臺灣銀行季刊第六十一卷第四期。
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