| The external dependence of Chinese crude oil is constantly reaching a record high.Foreign dependence has reached 70.83% in 2018.Crude oil has become one of the important factors affecting China's economic development and national security,and has attracted great attention from all walks of life.China's crude oil futures formally listed on March 26,2018.China's crude oil futures makes China's market has the oil's pricing right.The fluctuation of crude oil futures price in China has attracted the attention of the industry.In this paper,it mainly studies that the fluctuation law of active contract price of China crude oil futures(SC crude oil futures for short).The ARMAGARCH model of crude oil futures price series was based on market data from March 26,2018 to December 28,2018,and it was used to conduct empirical analysis.The empirical results show that the ARMA-GARCH model can fit the SC crude oil futures price well in the statistical interval.Compared with the price volatility of international important crude oil futures like BRENT and WTI crude oil futures,it is found that the impact time of SC crude oil futures is short.And this phenomenon is related to the speculating habits of domestic investors who are mainly individuals.In order to make up for the ARMA-GARCH model variance equation which can not analyze the fluctuation of crude oil futures,it is found that the price fluctuation of SC crude oil futures with BRENT and WTI crude oil futures is asymmetric by fitting the ARMA-EGARCH model.It turns out that "bad news" has a greater impact and it's called "the leverage effect". |
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