我国原油、煤炭和天然气的价格波动关系的研究--基于DCC-MVGARCH模型的实证分析

摘要

本文以原油、煤、天然气的价格收益率作为研究对象，运用DCC-MVGARCH模型，得出能源价格波动的动态相关系数，通过实证分析发现能源价格波动性的关系。结果表明，原油市场和煤炭市场波动性的动态相关系数随时间发展不断增长，原油市场和天然气市场波动性的相关系数比较稳定，煤炭市场和天然气市场波动性也比较稳定。%Setting the earnings price ratio of crude oil, coal and natural gas price as the study objects, through DCC-MVGARCH model, this paper gets the dynamic correlation coefficient of energy price fluctuation and finds the relationship of energy price's volatility by practical example. The conclusion show that the dynamic correlation coefficient of the crude oil market and the coal market volatility is continuously increasing as time goes on, the correlation coefficient of crude oil and natural gas market volatility of the market is relatively stable, so does the volatility of coal market and the natural gas market.