【作者】 董蕾；

【导师】 刘金兰；

【作者基本信息】 天津大学 ， 统计学， 2010， 硕士

【摘要】 石油在全球经济中举足轻重的战略地位决定了原油价格预测的必要性。当前世界经济正处于经济复苏的关键时期,中国的国际地位日益提升,这种特殊的国际环境决定了原油价格预测的紧迫性。本文以WTI原油价格为预测标的,将组合预测的三个层次:预测信息的组合,预测方法的组合以及预测结果的组合充分应用在油价预测的过程中。首先提炼出影响国际油价的五大主要因素——供给因素,需求因素,库存因素,经济因素,金融因素。将每个影响因素视为一个子系统。然后对各个子系统分别建立油价预测模型,在子系统建模过程中,先采用Granger因果检验筛选出对原油价格有预测意义的变量,在此因果关系模型的基础上加入自回归模型,这体现了组合预测的第二层次——预测方法的组合。在评价五个子系统的预测能力时,引入假设检验的思想,与传统的预测效果评价方法相比,该方法在得出判定孰优孰劣时更加慎重。最后对子系统的预测结果进行等权重组合,得到更加稳健的预测结果。在定量预测的同时,根据五个子系统中的景气指标变量构造―油价景气指数‖,实现了组合预测的第一个层次——预测信息的组合。本文实证研究表明,油价景气指数在预测油价下个月的走势时具有较高的准确性。本文将定量分析的结果与定性分析的结论相互融合,相对全面地展示了国际原油市场的动态。更多还原

【Abstract】 The fact that crude oil holds an important and indispensable position in the global economy determines the necessity for crude oil price forecast. The world economy is now in a critical period of recovery and China’s international status is also enhanced greatly, both of which determine the urgency of crude oil price forecast. Price of WTI is forecasted in this paper through the full application of three levels of Forecast Combination: combining forecast information, combining forecast methods and combining the forecast results. At first, five main factors influencing crude oil price are extracted, which are named supply factor, demand factor, stock factor, economy factor and finance factor. Each factor is considered as a subsystem. Then five forecast sub models are built in five subsystems respectively. In the subsystem modeling process, firstly the variables of top importance are filtered out by Granger Causality Test, and then two classical forecast methods (Causality Model and Autoregresstion Model) are combined to forecast the price of crude oil. On evaluating the forecast accuracy of five subsystems, hypothesis testing is originally occupied, which outperforms the traditional evaluation methods in the empirical analysis of this paper. Finally, the forecast results of these five subsystems are combined to act as the ultimate forecast result, which is more robust than any of those five ones. Apart from the quantitative analysis, a "Crude Oil Prosperity Index" is fabricated according to the performance of some certain variables in this paper, which is the combination of forecasting information. It is verified by empirical research that the Crude Oil Prosperity Index is doing well in predicting the price trend. The results of quantitative analysis and qualitative analysis are integrated to present a relatively full view of the international oil market.更多还原