Research On The Time-varying Jump Of International Oil Futures Price And Impacts On Spot Markets

Since reform and opening up,China’s economy has made remarkable achievements,Along with the rapid econmic development,the oil consumption has also rapidly risen.in 2016,China totally consumed 556 million tons of oil,but the domestic supply is far from meeting China’s economic development need.Domestic oil supply and demand has become increasingly prominent,the gap is growing,In 2016,China’s crude oil dependency was 65% and it is a further upward trend.However,affected by global economic crisis,geopolitics,macro-control and other abnormal events,the international oil futures prices fluctuated significantly.WTI futures prices,for example,in July 2008 for 145.29 dollars / barrel,with the global economic crisis,WTI futures prices all the way down,now in the 50 dollars / barrel near the single-day volatility is also growing,The rate of more than 5% of the number of more than 80 times,of which the largest single-day gain has reached 16.41%.This large price fluctuation price jump also caused widespread concern.As a result of this large fluctuations that jump will change the original international oil futures price fluctuations,and its price fluctuations forecast and estimate the accuracy of a direct impact,and then the international oil futures hedging and other risk management impact,and other futures The market has a price discovery function of the spot market,this futures price jumping behavior will inevitably impact on the spot price,increase the oil futures market volatility and risk.Therefore,the study of international oil futures price jump behavior is particularly important.On the one hand,the study of the price of oil futures has also enriched the research on asset price behavior,which is of great theoretical significance to the further study of asset price behavior.On the other hand,through the study of international oil futures price jumping behavior,It can understand the law of price fluctuation more accurately,understand its formation mechanism and fluctuation effect on oil spot price,improve the accuracy of price forecast and the right of discourse in China’s international oil futures market,reasonably avoid the risk,improve the oil Futures market,to build in line with China’s national conditions market trading system has important practical significance.Domestic and foreign scholars on the asset price jump behavior in-depth study,the relevant research results are rich,laid the foundation for the paper,but there are some shortcomings.Throughout the study at home and abroad,it is found that most scholars are based on strict assumptions on the study of jumping behavior,that is,asset price fluctuations are smooth and continuous.Whether it is a real situation or theoretical research shows that the asset price there is intermittent jump characteristics,that is,in the process of smooth changes with the jump behavior,and the jump intensity will change with time,that is,time-varying jump.It has been studied that when jumping behavior is studied,it is assumed that the jumping intensity is fixed,ignoring the jumping intensity and changing over time.Based on the above research background and existing research basis,this paper constructs the dynamic jump intensity ARJI-GARCH and ARMAJI-GARCH model to describe the time-varying jump of international oil futures prices.The dynamic jump intensity model was used to study the time-varying jump behavior of WTI futures prices from June 23,2011 to March 23,2017,and the generalized autoregressive heteroscedasticity model(GARCH),the constant jump intensity model The empirical results of comparative analysis of the international oil futures prices jump characteristics.At the same time,on the basis of studying the international oil futures prices,the jump strength is added to the mean value equation and the variance equation of the spot price,and further study the influence of the oil spot price jump on the spot market.The results show that the GARCH model can capture the smooth change of international oil futures prices,and there is fluctuation aggregation and long memory in international oil futures prices.The often jumping strength model shows that there is jumping behavior in international oil futures prices.After setting the jump intensity,the constant λ is 0.139786801,which is significant at the 5% level.The value of the time parameter ρ is 0.989993937,which is significant at 1% level,and the residual valueγis 0.309084808 Significant at 1% level.It shows that the international oil futures price jump behavior shows a strong time-varying,by the last jump factors and residuals of the common impact of the variables on the jump strength has a better explanatory power.The effect of jumping on the spot market is studied by comparing the time-varying jump intensity into the spot mean equation and variance equation.The empirical analysis shows that the jumping behavior of international oil futures has a good explanation for the volatility of the spot at 10% The volatility of the spot price is affected by the jumping behavior of the futures price.The jumping intensity of the lagged one has a significant effect on the futures price volatility.based on the international futures price jump behavior and its impact on the spot,this paper puts forward some suggestions for China to deal with international oil price jumping: increase the study of international oil futures price volatility,focusing on the reasons,characteristics and effects of its fluctuation And its transmission mechanism,and fully grasp the operation of international oil futures prices to reduce the impact of price fluctuations;actively participate in the international oil futures market,take full advantage of the futures market function to avoid price risk,through a large number of transactions affect the international oil futures market,further Enhance the influence of Chinese factors,enhance our right to speak in the market transactions;investors timely adjustment of trading strategies to avoid risks.