Crude oil market price risk measurement study-asymmetric spillover effects based on stock markets
LI Mingfang
XU Yiran
ZHAO Lutao
Abstract：A precise measure of risk in the crude oil market is beneficial for risk aversion and economic stabilization.Asymmetric fluctuations in the stock market have different spillover effects on the crude oil market,so we improve the generalized autoregressive conditional heteroskedasticity model(GARCH)and threshold GARCH model(TGARCH)to analyze the asymmetric spillover effects of the stock market on the crude oil market and to measure the crude oil market risk.First,an asymmetric volatility extraction method is proposed to identify four types of volatility.Second,a time-varying volatility GARCH model(BVGA)and a time-varying volatility TGARCH model(BVTGA)are developed to analyze the asymmetric spillover effects of the stock market on the crude oil market.Finally,the value-at-risk(VaR)is calculated to measure the crude oil market risk.The results show that crude oil market volatility has a long memory and leverage effect,and the external market has a strong and persistent influence on crude oil price volatility.Slow fluctuations in stock prices exacerbate crude oil price volatility,and the upside effect is greater than the downside effect.This study can provide policy implications for stabilizing the crude oil market and risk management.
Keywords：crude oil returnsprice riskstock marketgeneralized autoregressive conditional heteroskedasticityasymmetric spilloversvalue at risk
Publication Date：2024-05-20
Online Publishing Date：2025-08-15(First online date of this platform, not the publication date of the document)
Pages：9( 6-14 )