The Dynamic Relationship among the Returns of International Crude Oil Spots -Using BEKK Multivariate GARCH Model

• Main Authors: Yao-Chin, 王瑤琴
• Other Authors: Chien-Liang Chiu
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/n4rjvc

碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 95 === In this study, we apply the BEKK multivariate GARCH model, proposed by Engle and Kroner (1995), to analyze the relationships among the Brent crude oil return, the West Texas Intermediate crude oil return and the Dubai crude oil return. The sample period is divided into before uptrend and during uptrend two sub-periods. First, we deeply analyze dynamic relationships of three crude oil returns. Moreover, we use impulse response function to analyze the dynamic effect when one variable’s innovation occurred. The results show that the return of Brent and WTI affect each other strongly especially during uptrend period. For spillover effect, the unexpected impulse occur positive effect to other markets before uptrend period. However, the result is inconsistent during up-trend period. Finally, for impulse response function, we found the impulse reflection period obviously extended when facing itself or other markets, during uptrend period. Thus, we prove that the dynamic relationships and impulse response function of three returns between oil price uptrend and during uptrend is obviously different.