نوع مقاله : مقاله پژوهشی

نویسندگان

1 محقق پسادکتری، صندوق حمایت از پژوهشگران کشور، تهران

2 دانشیار دانشکده اقتصاد و مدیریت دانشگاه سیستان و بلوچستان

چکیده

به دلیل نقش استراتژیک تلاطم و بی‌ثباتی قیمت‌های نفت خام و تأثیرات آن بر همه کشورهای جهان، روش‌های مختلف مدل‌سازی و پیش‌بینی در این مورد ضروری است. در دو دهه گذشته ادبیات گسترده‌ای در مورد رویکردهای مختلف برای مدل‌سازی تجربی تلاطم در بازار نفت خام پدید آمده است. در این پژوهش، مدل‌سازی تلاطم قیمت‌های نفت خام WTI که در بازار این کالای استراتژیک یکی از مهم‌ترین انواع نفت خام است با شش مدل‌ «تلاطم تصادفی» انعطاف‌پذیر بررسی شده است. سپس عملکرد تجربی این مدل‌‌ها در مقایسه با یکدیگر با استفاده از روش‌های بیزی بررسی شده است. یافته‌های این پژوهش نشان می‌دهد که افزودن پرش در معادله بازده و «اثر اهرمی به مدل تلاطم تصادفی» عملکرد آن را در مقایسه با سایر مدل‌ها بسیار بهبود می‌بخشد. براساس یافته‌های این مدل، پایداری تلاطم در بازار WTI بسیار بالاست و به طور متوسط هر سال یک پرش در این بازار روی می‌دهد. با این حال، این مدل نشان می‌دهد که در سال 2020 دو پرش در بازده WTI در ماه‌های آوریل و مه روی داده است که رویدادی کم‌نظیر است. علاوه بر این همبستگی میان مؤلفه پرش در بازده و پرش در تلاطم (پرش همبسته مرتون) در داده‌های WTI تأیید نمی‌شود. همچنین، به دلیل اثر اهرمی منفی، شوک‌های منفی اثرات تلاطمی قوی‎تری نسبت به شوک‌های مثبت در بازار نفت خام دارند.

کلیدواژه‌ها

موضوعات

عنوان مقاله [English]

Modeling Crude Oil Price Dynamics: Investigation of Jump and Volatility Using Stochastic Volatility Models (Case study: WTI crude oil prices in 2020 and 2021)

نویسندگان [English]

  • mojtaba rostami 1
  • Mohammad Nabi Shahiki Tash 2

1 Postdoctoral Researcher, Iran National Science Foundation, Tehran, Iran

2 Associate Professor in Economics, Sistan and Baluchestan University, Zahedan, Iran

چکیده [English]

Due to the strategic role of volatility and instability of crude oil prices and their effects on all countries of the world, different methods of modeling and forecasting are necessary. Over the past two decades, an extensive literature has emerged on various approaches to empirically modeling volatility in the crude oil market. In this research, WTI crude oil price volatility modeling, which is one of the most important types of crude oil in the market of this strategic commodity, is examined with six flexible stochastic volatility (SV) models. Then the experimental performance of these models is compared with each other using Bayesian methods. The findings of this study show that adding one jump in efficiency and leverage effect to the stochastic volatility (SVLJ) model greatly improves its performance compared to other models. According to the findings of this model, the stability of volatility in the WTI market is very high and on average one jump occurs in this market every year. However, this model shows that in 2020, two jumps in WTI returns occurred in April and May, which is a unique event. In addition, the correlation between the return jump component and the volatility jump (Merton correlation jump) is not confirmed in the WTI data. Also, due to the negative leverage effect, negative shocks have stronger volatility effects than positive shocks in the crude oil market.

کلیدواژه‌ها [English]

  • Stochastic Volatility
  • Jump
  • Bayesian methods
  • crude oil
  • Leverage Effect
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