The Impact of the Change in the Closing Price of WTI Crude Oil Futures on Brent Crude Oil Futures

摘要

In this paper, we study the time series data of the closing prices of WTI (West Texas Intermediate) U.S. crude oil futures and London Brent crude oil futures from May 6, 2019 to May 4, 2020, and analyze the volatility changes of the closing prices of WTI crude oil futures based on the Combinatorial model and GARCH model coupling equation with the help of Smoothness test, Cointegration test, and Granger causality test. The results show that there is a long-term equilibrium relationship between WTI crude oil futures price and Brent crude oil futures price, and WTI crude oil futures price makes the Granger cause of Brent crude oil futures price. Therefore, by using the time series of WTI crude oil closing price as the explanatory variable and the time series data of London Brent crude oil closing price as the explained variable, based on the traditional simple linear regression model, the impact of the fluctuating changes in the closing price of WTI crude oil futures on the closing price of London Brent crude oil futures is investigated and the price of London Brent crude oil is predicted. The final conclusion is that the WTI crude oil price slump will affect the Brent crude oil price to further lower, but the negative WTI oil price will not have a very serious impact on Brent crude oil.