Research On Influencing Factors And Forecast Of International Crude Oil Price Fluctuation

With the globalization of the economy,the dominance of crude oil in commodity markets has become increasingly evident.The crude oil market has been in a highly volatile state for the past few years,which affecting different areas,including economic activities,government policies,investment portfolio allocation,risk management,etc.,and crude oil prices have become the primary concern.Also,China has a key role to play in the global crude oil market,with a high degree of external dependence on crude oil,and fluctuations in crude oil prices have a profound impact on our economy and even national life.Accordingly,this paper illustrates the evolution of the international oil price mechanism and the situation of the international oil market.It also analyses from a theoretical perspective the mechanism by which fundamentals including those of supplies,demand and inventories have influenced the fluctuation of crude oil price,and the mechanism by which non-fundamental factors such as the US dollar exchange rate,geopolitical risks,panic,internet concern and stock markets affect oil price.On this basis,this paper constructs single-factor and multi-factor generalized autoregressive conditional heteroscedasticity mixing data sampling model with asymmetric effects(GJR-GARCHMIDAS)to analyze whether each influencing factor has a significant long-term influence on oil price movements at the horizon-level and volatility-level effects respectively,and uses rolling forecasting methods to check the forecasting effectiveness of the model and if the inclusion of variables improves the accuracy of the prediction.The research findings from the empirical studies revealed that:(1)At the horizontal level,geopolitical risk,the panic index,and the US dollar index are the dominant factors for oil price volatility in the long run,while the US S&P500,the OECD stock,and the US dollar index are the dominant factors at the volatility level.At the same time,the multi-factor mixed-frequency model has a stronger ability to explain oil price volatility compared to the single-factor mixed-frequency model.(2)The direction of influence of each factor on crude oil price volatility under the horizontal and volatility effects varies,but the multi-factor model and the single-factor model have the same direction of influence on oil price volatility.(3)Adding univariate or multivariate to the GJR-GARCH-MIDAS model predicts oil price volatility better than the base model(GJR-GARCH),and adding exogenous variables can significantly improve the prediction accuracy.In the light of the previous conclusions,this paper makes the below recommendations: improve the construction of China’s crude oil market and establish a risk warning mechanism for oil price fluctuations;strengthen the regulatory mechanism for the crude oil futures market and formulate relevant policies;and increase crude oil reserves to promote energy security.