天然气期货和现货价格间的相关性研究

doi:10.12005/orms.2017.0197

运筹与管理 ›› 2017, Vol. 26 ›› Issue (8): 141-145.DOI: 10.12005/orms.2017.0197

天然气期货和现货价格间的相关性研究

邢文婷¹, 张宗益², 吴胜利³

1.重庆工商大学管理学院,重庆 400067;
2.重庆大学经济与工商管理学院,重庆 400030;
3.重庆交通大学交通运输学院,重庆 400074

收稿日期:2016-10-18 出版日期:2017-08-25
作者简介:邢文婷(1986-),女,河南周口人,讲师,管理学博士,主要研究方向为能源技术经济与管理;吴胜利(1983-),男,河南南阳人,通讯作者,讲师,工学博士,主要研究方向为信号处理及数据挖掘。
基金资助:
国家自然科学基金资助项目“天然气资源的经济安全重大问题与对策研究”(71133007/G0301)

Research on the Correlation Analysis Between the Natural Futures Prices and Spot Prices

XING Wen-ting¹, ZHANG Zong-yi², WU Sheng-li³

1.College of Management, Chongqing Technology and Business University, Chongqing 400067,China;
2.College of Economy & Business Administration, Chongqing University, Chongqing 400030, China;
3.College of Traffic and Transportation, Chongqing Jiaotong University, Chongqing, 400074, China

Received:2016-10-18 Online:2017-08-25

摘要/Abstract

摘要： 基于天然气期货价格与现货价格序列间具有强非线性特征,本文将GARCH模型和Copula函数思想进行结合,同时考虑了天然气期货和现货价格间的时变相关结构,构建了时变Copula(GARCH-Normal、GARCH-GED和GARCH-t)模型,利用美国纽约商品交易所(NYMEX)Henry Hub交易中心天然气期货价格和现货价格数据进行实证研究。实证结果表明:GARCH-GED模型能够准确地拟合天然气期货与现货价格时间序列;时变SJC-Copula函数能够更好的描述天然气期货价格与现货价格间的相关性;天然气期货与现货价格间的相关性不是对称的,上尾的相关性小于下尾相的相关性。

关键词: 天然气期货市场, 天然气现货市场, Copula函数, 相关性, 时变相依

Abstract: Based on the strong nonlinear characteristic between natural gas futures prices and spot prices. Considering the correlation of the profits between the natural gas real-time market and futures market and the statistical characteristics of the profit series, in this paper we establish the dependence portfolio model-Gumbel Copula-(GARCH-GED,GARCH-t)based on the advantages of the copula function and the GARCH model. We analysis the dynamic correlation among the natural gas futures price and spot price based on the model. The empirical results show that the GARCH-GED model is effective in fitting time series of the spot prices and futures prices; the time-varying Symmetrized Joe-Clayton(SJC)Copula function is effective in analyzing correlation between the spot prices and futures prices; there is asymmetrical tail dependence between the natural gas futures prices and spot prices , the lower tail correlation is stronger than the upper tail correlation.

Key words: natural gas futures market, natural gas spot market, Copula function, correlation, time-varying dependence

中图分类号:

C812
F407.2

邢文婷, 张宗益, 吴胜利. 天然气期货和现货价格间的相关性研究[J]. 运筹与管理, 2017, 26(8): 141-145.

XING Wen-ting, ZHANG Zong-yi, WU Sheng-li. Research on the Correlation Analysis Between the Natural Futures Prices and Spot Prices[J]. Operations Research and Management Science, 2017, 26(8): 141-145.

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天然气期货和现货价格间的相关性研究

Research on the Correlation Analysis Between the Natural Futures Prices and Spot Prices

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