臺灣博碩士論文加值系統

隨著全球經濟成長趨緩，美元兌其他主要貨幣走高及高油價抑制消費等因素影響，台灣為一自有能源短缺的國家，係透過進口來取得所需的能源商品，故能源價格與我國經濟發展息息相關。另外，期貨市場的價格發現功能，將可以使期貨價格成為現貨市場價格的重要指標。
本研究以在美國NYMEX與英國ICE交易之相同能源期貨商品，包括西德州原油期貨、布蘭特原油期貨、熱燃油期貨、天然氣期貨及無鉛汽油期貨的價格來比較ARIMA模型、GARCH模型及EGARCH模型之預測績效，最後加入英鎊兌美元匯率以探討其與能源期貨價格間之關聯性。經由實證結果歸納以下三點結論：
1.僅在ICE交易之熱燃油期貨與在NYMEX交易之布蘭特原油期貨價格產 生變動時，對匯率無顯著影響，而匯率的變動會影響能源期貨價格。
2.除了在ICE交易之天然氣期貨外，其餘9個能源期貨皆受在ICE交易之布蘭特原油期貨影響。另外，在NYMEX交易之熱燃油期貨與西德州原油期貨價格會受到在ICE交易之相同能源期貨價格所影響；而在ICE交易之無鉛汽油期貨價格會受到在NYMEX交易之相同能源期貨價格所影響。
3.在NYMEX交易之天然氣期貨及在ICE交易之無鉛汽油期貨及天然氣期貨價格皆以ARIMA模型預測能力較佳；在NYMEX與ICE交易之布蘭特原油期貨及在NYMEX交易之無鉛汽油期貨價格則以GARCH模型預測能力較佳；而在NYMEX與ICE交易之西德州原油期貨及熱燃油期貨，在不同的預測力準則下有不同的模型選擇。

With the global economy went slowdown for the past two years, the surge of oil prices dramatically reduced consumption. Because of energy shortage, Taiwan must import the energy commodities to meet her regular demand. Consequently, the energy prices have a close link with Taiwan's economic development. Additionally, the price discovery function of futures markets make futures prices an important indicator for spot prices.
This study uses the ARIMA, GARCH and E-GARCH models to examine the futures prices of the very energy commodities which were listed both on NYMEX and ICE. Those energy commodities include WTI crude oil, Brent crude oil, heating oil, natural gas and RBOB gasoline. Finally, this work uses an exchange rate of GBP/USD to examine the relationship between the exchange rate and energy futures. The empirical results are summarized below：
1.This study finds that the change in exchange rate affects all the energy futures prices except the heating oil prices being listed on the ICE and the Brent crude oil prices being listed on the NYMEX.
2.This work also finds that all the energy futures prices are affected by the Brent crude oil prices except the nature gas being traded at the ICE. Additionally, the heating oil prices and the WTI crude oil prices being traded at the NYMEX were affected by the same energy futures commodities being traded at the ICE. On the other hand, the RBOB gasoline price being traded at the ICE was affected by the same energy futures traded in NYMEX.
3.This investigation also finds that the forecasting power of the ARIMA model outperforms the other two models for the natural gas prices being traded at the NYMEX, and the RBOB gasoline prices and natural gas prices being traded at the ICE. However, the forecasting power of the GARCH model outperforms the other two models for the prices of the Brent crude oil and those for the RBOB gasoline being traded at NYMEX and ICE, as well as for that of the Brent crude oil being traded at the ICE. However, for the other energy commodities, no model has better forecasting power than others.

目 錄
摘 要 I
Abstract II
致 謝 辭 IV
目 錄 V
圖 目 錄 VII
表 目 錄 VIII
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 5
第三節 研究流程 6
第四節 能源期貨市場簡介 7
第二章 能源期貨相關文獻回顧 8
第一節 能源期貨之相關文獻 8
第二節 預測方法之相關文獻 11
第三節 油價與總體經濟變數關聯性之相關文獻 14
第三章 研究方法 16
第一節 變數選取及資料來源 16
第二節 單根檢定 17
第三節 自我迴歸整合移動平均模型 19
第四節 一般化自我迴歸條件異質變異數模型 20
第五節 指數型一般化自我迴歸條件異質變異數模型 21
第六節 預測準確度驗證 22
第七節 向量自我迴歸 25
第八節 衝擊反應函數 26
第九節 預測誤差變異數分解 27
第四章 實證結果與分析 29
第一節 資料型態與說明 29
第二節 單根檢定結果 32
第三節 ARIMA模型結果 33
第四節 GARCH模型結果 35
第五節 EGARCH模型結果 39
第六節 模型預測力結果之比較 42
第七節 向量自我迴歸 45
第八節 衝擊反應函數 46
第九節 預測誤差變異數分解 53
第五章 結論與建議 60
第一節 研究結論 60
第二節 研究限制 62
第三節 研究建議 63
參考文獻 64
中文文獻 64
英文文獻 65

圖 目 錄
圖 1 西德州原油價格走勢圖 4
圖 2 研究流程圖 6
圖 3 衝擊反應函數 50
圖 4 衝擊反應函數 51
圖 5 衝擊反應函數 52

表 目 錄
表 1 能源期貨之相關文獻彙總表 8
表 2 預測方法之相關文獻彙總表 11
表 3 油價與總體經濟變數關聯性之相關文獻彙總表 14
表 4 變數定義表 29
表 5 敘述統計彙總表 31
表 6 單根檢定結果 32
表 7 最適ARIMA模型配置與自我相關檢定 34
表 8 各能源期貨之ARCH效果檢定 35
表 9 最適GARCH模型配置與自我相關檢定 37
表 10 最適EGARCH模型配置與自我相關檢定 40
表 11 在NYMEX及ICE交易之布蘭特原油期貨價格預測力比較 42
表 12 在NYMEX及ICE交易之西德州原油期貨價格預測力比較 42
表 13 在NYMEX及ICE交易之熱燃油期貨價格預測力比較 43
表 14 在NYMEX及ICE交易之無鉛汽油期貨價格預測力比較 44
表 15 在NYMEX及ICE交易之天然氣期貨價格預測力比較 44
表 16 殘差相關係數及變數排序 45
表 17 預測誤差變異數分解 56

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