摘要：
随着中国成为世界第二大经济实体,对能源的需求也与日俱增,特别是对石油的依赖程度更加的明显,石油价格的波动对我国的经济发展至关重要.为此,选取2014年1月2日到2019年2月28日全国石油价格的日数据,对其进行二阶差分建立平稳性的石油价格序列,通过建立ARMA(2,0)模型,对其残差进行ARCH效应检验,可以得出序列存在高阶ARCH效应;通过进一步研究发现,序列存在非对称性,正负冲击对石油市场的影响是不同的,最终确定建立TARCH(1,1)模型对石油原油市场的波动性进行定量分析.%As China becomes the world＇s second largest economic entity, its demand for energy is also in‐creasing day by day, especially the degree of dependence on oil is more obvious. The fluctuation of oil price is crucial to China＇s economic development. For this reason, the daily data of the national oil price from January 2, 2014 to February 28, 2019 were selected, and the stationary oil price sequence was established with second-or‐der difference by establishing ARMA (2, 0) model and carrying out ARCH effect test on its residual, it can be conclude that the high-order ARCH effect exists in the sequence. Through further study, it was found that the sequence was asymmetric and positive and negative shocks had different impacts on the oil market. Finally, TARCH (1, 1) model was established to conduct quantitative analysis on the volatility of the oil market.
