The Risk Analysis on Energy Price Volatility of China Market Based on GARCH Model

被引：0
|
作者：
Li, Yanhong [1 ]
机构：
[1] N China Elect Power Univ, Sch Business Adm, Baoding, Peoples R China
来源：
EBM 2010: INTERNATIONAL CONFERENCE ON ENGINEERING AND BUSINESS MANAGEMENT, VOLS 1-8 | 2010年
关键词：
energy price volatility; GARCH model; energy risk; ARCH effect;
D O I：
暂无
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
Energy risk refer to risks incurred from the uncertainty of the market prices of energy assets. Energy market of China is far from being mature, and the prices of energy assets are influenced with higher variability by more factors than financial assets and real assets are. This paper aims at the energy risk problems, especially energy price volatility based on GARCH model. Through analysis on the price ARCH effect, energy prices in China market exists volatility cluster, which indicates the past prices have effect on the future, and thus provide a basis for the formulation and design of the energy risk management strategies.
引用
收藏
页码：3414 / 3417
页数：4
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