WTI 2009 1 9 2008 12 31 62 2008 12 1415 1 NYMEX WTI ICE Bren WTI 1 2008 2009 1 9
PLATTS MOPS MOPS 2004 8 MOPS SP SH 2004 8 25 2009 3 13 NYMEX WTI WTI 1 2 1 2 WTI 1 2004.8-2009.3
2 WTI 2004.8-2009.3 1 WTI 2004 8 25 2009 3 13 2004 2005 2006 2007 2008 2009 2004 2009 0.69526 0.80631 0.69304 0.93661 0.95259 0.46511 0.92778 0.92983 0.87170 0.93367 0.97402 0.982218 0.11357 0.98635 1 WTI 2004 8 25 0.92778 2006 2009 2009 2006 2005 2005 7 20 2006 8.0675 7.8085 3 3-2005 6 2009 3
2008 2009 0.1 / 0.8 / 101.5 / 812 / 0.93 1 ADF ADF SP = SP SP 1 SH = SH SH 1
4 300 200 100 0-100 -200-300 200 400 600 800 1000 DSH 10 0-10 -20-30 200 400 600 800 1000 DSP 1 2 4 EVIEWS ADF 2 2 ADF ADF Tes Saisic 1% 5% 10% P SP -1.109722-3.4392-2.8647-2.5684 0.2674 dsp -34.44454-3.4392-2.8647-2.5684 0 SH -1.683907-3.4392-2.8647-2.5684 0.0925 dsh -34.07825-3.4392-2.8647-2.5684 0 dsp dsh 1% 2
3 ADF ADF 1% 5% 10% P -36.34497-3.4392-2.8647-2.5684 0 3 1% 5 10 5 0-5 -10-15 -20 200 400 600 800 1000 WTI WTI. WTI. 1 ADF WTI SP = SP SP 1 E WTI = WTI WTI 1 WTI EVIEWS ADF 4 4 WTI ADF
ADF Tes Saisic 1% 5% 10% P SP -1.118455-3.4394-2.8647-2.5685 0.2636 dsp -34.11662-3.4394-2.8647-2.5685 0 WTI -1.483344-3.4394-2.8647-2.5685 0.1383 dwti -35.54661-3.4394-2.8647-2.5685 0 1% WTI WTI WTI 2 WTI 5 WTI ADF ADF 1% 5% 10% P -37.72677-3.4394-2.8647-2.5685 0 5 1% WTI WTI 6 15 10 5 0-5 -10-15 -20 200 400 600 800 1000 E WTI
1 Johnson h( ) σ * s cov( s, f ) = ρ = 2 σ f σ f h() s f 2 ADF 30 60 90 / WTI / 6 (2004.8-2009.3) 30 60 90 120 1 4018 1 4815 1 6448 1 8066 WTI 1 0444 1 1338 1 1595 1 1614 OLS 1 30 120 1.4018 1.8066 WTI
WTI 3. HEv Johnson(1960) Var( U Var( H ) = Var( S ) = Var( S ) β F ) HEv = [ Var U ) Var( H )]/ Var( U ) ( HEv 7 (2004.8-2009.3) 30 60 90 120 HEv 0.55827 0.64847 0.74436 0.83772 WTI HEv 0.76626 0.87964 0.89868 0.95164 OLS HEv WTI 95.16% WTI / //
WTI WTI WTI 1 MOPS 2 3 [1]. --- 2008GXS1B006 [2]. GS [J],2007 2 104-108. [3],.[J].,2002, 10 15-20. [4].[J].,2002, 1869-14. [5]. [J].,2003, 11 24 126,96-99. [6].[J].
,2004, 551-52. [7.[J]. 2004, (4) : 33-39. [8].[D]. :2004 (6):5-19. [9].[J]. 2004, 992-93 [10].[J]. 2006, 136-37. [11].[D]. 2006 4. [12].[J].,2005 10 73-75.