Study On The Volatility Of China's Crude Oil Futures And Its Correlation With The Stock Prices Of Energy Sector

With the continuous progress of Chinese financial reform and globalization,various financial market systems in China have been continuously established and improved,and the types of financial market products have been gradually enriched.China has gradually formed a multi-level capital market system.China's crude oil futures are officially listed on the Shanghai international energy trading center on March 26,2018.The listing of China's crude oil futures is of epoch-making significance for the advancement of China's RMB internationalization and the strengthening of the right to speak on Bulk commodity pricing.Due to the long-term unstable supply and demand of crude oil price,the price of crude oil futures may fluctuate fiercely.As a financial asset,China's crude oil futures have yet to be tested in terms of its financial attributes,stability,price volatility and correlation with capital market.This paper first introduces the development process and trading characteristics of China's crude oil futures contracts.The influence of crude oil futures on the stock price of China's energy sector is analyzed from the macroscopic and microscopic aspects of economics.Based on the analysis of economic principles and the analysis of three industries,namely,the industries of the production of crude oil,the use of crude oil and the substitution of crude oil,this paper establishes the empirical research hypothesis that the price of crude oil futures contract is positively correlated with the stock price of the energy sector.Realized volatility and Realized GARCH model were selected as the empirical research model on the study of the volatility of crude oil futures.GARCH and EGARCH models are added as references for the models selected in this paper.The empirical results show that Realized GARCH model can better fit the highfrequency data volatility of crude oil futures than GARCH and EGARCH model,and Realized GARCH model with a Skewed-t distribution can fit better than that with a student t distribution.Based on the estimation results of model parameters,this paper further measures the Va R of crude oil futures index.In the second part of this paper,Realized GARCH-Copula model was established.Using the Realized GARCH model empirical results,this paper transfers both indices to series with a uniform distribution of 0 to 1.Copula function is built up by using R software.And by fitting related parameters obtained by fitting function of index of China's crude oil futures and energy industry stock index,this paper gets the correlation structure of the energy industry stock price and the oil future of China.Based on the above empirical results,this paper draws the following conclusions: First,in terms of model,Realized GARCH model based on Skewed t distribution is more accurate in fitting the fluctuation characteristics of the time series of financial assets,especially in the case of extreme risk measured by Va R forecast;Secondly,in terms of the financial attributes of crude oil futures,this paper concludes that the time series of crude oil futures yield rate has the characteristics of sharp peak and thick tail,fluctuation clustering,heteroscedasticity and other fluctuation characteristics.At the same time,there is obvious fluctuation continuity and leverage effect in crude oil futures.Finally,by establishing Realized GARCHCopula model,this paper proves the positive correlation between crude oil futures index and the energy index.However,the correlation between the two indexes is not high.This paper speculated that this is because there are many factors influencing the stock market price.On the other hand,China's crude oil futures are at the initial stage of listing,and the information transmission channel between the capital markets is still not smooth,which also affects the degree of energy sector stock prices affected by crude oil futures price fluctuations.Finally,based on the above conclusions,this paper puts forward relevant policy suggestions for the development and regulatory decision-making of crude oil futures as well as the decision-making of investors.