Research on the Impact of Crude Oil Price Fluctuation Based on EGARCH Model
DOI:
https://doi.org/10.54097/fbem.v10i1.9857Keywords:
WTI crude oil futures, Asymmetry, EGARCH model.Abstract
At present, the largest commodity futures variety in the global futures market is crude oil futures, which plays a role in price discovery, risk hedging, and stabilizing international crude oil prices. The fluctuation of its price is a key issue that governments, investors, and scholars around the world pay attention to. This paper establishes GARCH model and EGARCH model under three distribution states of t distribution, Normal distribution and GED distribution. Then, through model comparison, it was found that the EGARCH model with t-distribution had the best fitting effect. Finally, the EGARCH model under t distribution is predicted within and outside the sample. It is found that under the impact of the financial crisis in 2008 and the COVID-19 epidemic, the crude oil futures prices fluctuated rapidly and violently, indicating that global International incident have a great impact on crude oil futures prices. The innovation of the research lies in comparing crude oil futures under different distributions based on GARCH and EGARCH models, which depict the characteristics of asymmetry.
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