三個能源期貨價格預測模型比較分析及匯率關聯性之研究－以NYMEX與ICE為例

Comparison of the Three Forecasting Models on the Energy Futures and the Relationship between the Exchange Rate and Energy Futures-Example of NYMEX and ICE

劉苑伶(Yuan-Ling Liu)

指導教授 ： 胡為善

中原大學/商學院/企業管理研究所/碩士(2010年)

https://doi.org/10.6840/cycu201000568

摘要

隨著全球經濟成長趨緩，美元兌其他主要貨幣走高及高油價抑制消費等因素影響，台灣為一自有能源短缺的國家，係透過進口來取得所需的能源商品，故能源價格與我國經濟發展息息相關。另外，期貨市場的價格發現功能，將可以使期貨價格成為現貨市場價格的重要指標。
本研究以在美國NYMEX與英國ICE交易之相同能源期貨商品，包括西德州原油期貨、布蘭特原油期貨、熱燃油期貨、天然氣期貨及無鉛汽油期貨的價格來比較ARIMA模型、GARCH模型及EGARCH模型之預測績效，最後加入英鎊兌美元匯率以探討其與能源期貨價格間之關聯性。經由實證結果歸納以下三點結論：
1.僅在ICE交易之熱燃油期貨與在NYMEX交易之布蘭特原油期貨價格產 生變動時，對匯率無顯著影響，而匯率的變動會影響能源期貨價格。
2.除了在ICE交易之天然氣期貨外，其餘9個能源期貨皆受在ICE交易之布蘭特原油期貨影響。另外，在NYMEX交易之熱燃油期貨與西德州原油期貨價格會受到在ICE交易之相同能源期貨價格所影響；而在ICE交易之無鉛汽油期貨價格會受到在NYMEX交易之相同能源期貨價格所影響。
3.在NYMEX交易之天然氣期貨及在ICE交易之無鉛汽油期貨及天然氣期貨價格皆以ARIMA模型預測能力較佳；在NYMEX與ICE交易之布蘭特原油期貨及在NYMEX交易之無鉛汽油期貨價格則以GARCH模型預測能力較佳；而在NYMEX與ICE交易之西德州原油期貨及熱燃油期貨，在不同的預測力準則下有不同的模型選擇。

關鍵字

預測力 ； 能源期貨 ； EGARCH模型 ； GARCH模型 ； ARIMA模型 ； 衝擊反應函數 ； 預測誤差變異數分解

並列摘要

With the global economy went slowdown for the past two years, the surge of oil prices dramatically reduced consumption. Because of energy shortage, Taiwan must import the energy commodities to meet her regular demand. Consequently, the energy prices have a close link with Taiwan's economic development. Additionally, the price discovery function of futures markets make futures prices an important indicator for spot prices.
This study uses the ARIMA, GARCH and E-GARCH models to examine the futures prices of the very energy commodities which were listed both on NYMEX and ICE. Those energy commodities include WTI crude oil, Brent crude oil, heating oil, natural gas and RBOB gasoline. Finally, this work uses an exchange rate of GBP/USD to examine the relationship between the exchange rate and energy futures. The empirical results are summarized below：
1.This study finds that the change in exchange rate affects all the energy futures prices except the heating oil prices being listed on the ICE and the Brent crude oil prices being listed on the NYMEX.
2.This work also finds that all the energy futures prices are affected by the Brent crude oil prices except the nature gas being traded at the ICE. Additionally, the heating oil prices and the WTI crude oil prices being traded at the NYMEX were affected by the same energy futures commodities being traded at the ICE. On the other hand, the RBOB gasoline price being traded at the ICE was affected by the same energy futures traded in NYMEX.
3.This investigation also finds that the forecasting power of the ARIMA model outperforms the other two models for the natural gas prices being traded at the NYMEX, and the RBOB gasoline prices and natural gas prices being traded at the ICE. However, the forecasting power of the GARCH model outperforms the other two models for the prices of the Brent crude oil and those for the RBOB gasoline being traded at NYMEX and ICE, as well as for that of the Brent crude oil being traded at the ICE. However, for the other energy commodities, no model has better forecasting power than others.

並列關鍵字

GARCH ； ARIMA ； Forecasting Power ； EGARCH ； Impulse Response Function ； Variance Decomposition ； Energy Future

參考文獻

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