基于MHPSO-NHMM-FIEGARCH-GED模型的Brent原油价格波动研究

doi:10.16381/j.cnki.issn1003-207x.2021.2416

中国管理科学 ›› 2023, Vol. 31 ›› Issue (6): 265-275.doi: 10.16381/j.cnki.issn1003-207x.2021.2416

基于MHPSO-NHMM-FIEGARCH-GED模型的Brent原油价格波动研究

杨杰¹, 冯芸¹, 黄倩²

1.上海交通大学安泰经济与管理学院，上海200030；2.中国科学技术大学管理学院，安徽合肥230026

收稿日期:2021-11-20 修回日期:2022-02-28 出版日期:2023-06-20 发布日期:2023-06-17
通讯作者: 冯芸（1973-），女（汉族），海南安定人，上海交通大学安泰经济与管理学院金融系，教授，博士生导师，研究方向：国际金融市场、金融创新和衍生品风险管理，Email：fengyun@sjtu.edu.cn. E-mail:fengyun@sjtu.edu.cn
基金资助:
国家自然科学基金资助项目（72273090）；国家社会科学基金资助重点项目（22AZD133）

Research on Brent Crude Oil Price Fluctuation Based on MHPSO-NHMM-FIEGARCH-GED Model

YANG Jie¹, FENG Yun¹, HUANG Qian²

1. An-tai College of Economics and Management, Shanghai Jiao Tong University, Shanghai 200030, China;2. School of Management, University of Science and Technology of China, Hefei 230026, China

Received:2021-11-20 Revised:2022-02-28 Online:2023-06-20 Published:2023-06-17
Contact: 冯芸 E-mail:fengyun@sjtu.edu.cn

摘要/Abstract

摘要： 考虑到国际原油价格波动结构易受经济贸易、军事政治事件等外部因素的影响而发生异常变化，本文首先使用基于变异混合粒子群算法优化的非齐次隐马尔科夫模型(NHMM)对Brent原油收益的多波动状态进行智能识别。其次，基于识别出的波动状态，构建了广义误差分布下结合NHMM的分整指数GARCH模型(NHMM-FIEGARCH-GED)并以其对原油波动率进行预测，同时利用模型信度设定检验法对预测效果进行评价。研究结果表明，NHMM-FIEGARCH-GED模型具有更加准确的样本外预测能力。正常波动状态下的原油市场表现出长记忆性特征且对外部信息冲击非常敏感，具有显著的杠杆效应；但异常波动状态下的原油市场呈现出反持续性且对外部冲击的反应较弱，同时杠杆效应也不显著。而原油波动率在不同波动状态下具有相反的长程相关性表明该序列可能存在多重分形结构，因此基于多重分形降趋移动平均法本文进行了进一步的探讨。结果发现，主要影响因素是序列波动的厚尾概率分布，即极端重大的外部事件冲击是造成国际原油波动多重分形特征的主要推手。

关键词: 粒子群算法；非齐次隐马尔科夫模型；FIEGARCH模型；多重分形特征

Abstract: The fluctuation of international crude oil price has an important impact on national economic development and social stability. Considering that the international crude oil price fluctuation structure is easily affected by external factors such as economic and trade, military and political events, firstly the nonhomogeneous hidden Markov model (NHMM) optimized by mutation hybrid particle swarm optimization algorithm is used to intelligently identify the various fluctuation state of Brent crude oil yields. Secondly, based on the identified fluctuation state, the fractionally integrated exponential GARCH model (NHMM-FIEGARCH-GED) combined with NHMM under the generalized error distribution is constructed to predict the crude oil volatility, and the prediction performance is evaluated by using the Model Confidence Set test method. The results show that NHMM-FIEGARCH-GED model has more accurate out-of-sample prediction ability. The crude oil market under the normal fluctuation shows the characteristics of long memory and is very sensitive to the impact of external information shocks, possessing the significant leverage effect; However, the crude oil market under the abnormal fluctuation shows anti-persistence and weak response to external shocks, and the leverage effect is not significant. The crude oil volatility has opposite long-range correlation under different fluctuation states, indicating that the series may have multifractal structure. Therefore, it is further discussed based on multifractal descended moving average method. The results show that the major influencing factor is the heavy-tailed probability distribution of series fluctuations, that is, the impacts of extremely profound external event shocks are the main driver of the multifractal characteristics of international crude oil fluctuations. It can provide new ideas for other scholars to study the volatility of energy or financial markets. At the same time, it can effectively guide relevant institutions, departments and investors to quickly formulate and implement reasonable response strategies in the context of sudden political events and world economic turmoil.

Key words: PSO algorithm; nonhomogeneous hidden Markov model; FIEGARCH model; multifractal characteristic

中图分类号:

杨杰, 冯芸, 黄倩. 基于MHPSO-NHMM-FIEGARCH-GED模型的Brent原油价格波动研究[J]. 中国管理科学, 2023, 31(6): 265-275.

YANG Jie, FENG Yun, HUANG Qian. Research on Brent Crude Oil Price Fluctuation Based on MHPSO-NHMM-FIEGARCH-GED Model[J]. Chinese Journal of Management Science, 2023, 31(6): 265-275.

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基于MHPSO-NHMM-FIEGARCH-GED模型的Brent原油价格波动研究

Research on Brent Crude Oil Price Fluctuation Based on MHPSO-NHMM-FIEGARCH-GED Model

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