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

劉苑伶

doi:10.6840/cycu201000568

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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 , Masters　　Advisor：胡為善　　

繁體中文 DOI： 10.6840/cycu201000568

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

Abstract │ Reference (72) │ Times Cited (2) │ Altmetrics

Abstract 〈TOP〉

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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.

Reference ( 72 ) 〈TOP〉

呂佳芹 (2008)，「應用時間序列、演化式類神經網路與灰預測方法在匯率預測績效之比較」，朝陽科技大學財務金融研究所碩士論文。
連結：
林瑞文 (2005)，「石油期貨之價格預測-倒傳遞類神經網路、Elman類神經網路、回饋式模糊類神經網路之比較」，中原大學企業管理研究所碩士論文。
連結：
紀慧君 (2006)，「原油現貨、期貨與相關性產業之連動關係」，淡江大學財務金融研究所碩士論文。
連結：
陳隆昌 (2004)，「美國油價期貨報酬與股市報酬率之非線性關係」，淡江大學財務金融研究所碩士論文。
連結：
彭智煒 (2008)，「使用同時考慮狀態轉換及正負不對稱基差效果之時變相關係數GARCH模型進行能源期貨避險」，暨南國際大學財務金融研究所碩士論文。
連結：

Times Cited (2) 〈TOP〉

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