The Jump Spillover Effects Of The International Energy Futures Markets Based On The MCMC Method

Along with the development of world economy, as a kind of basic energy products and important industrial raw material, the price of oil has frequent and violent fluctuation. The demand of avoiding price risk is growing, and many countries have successively introduced different energy futures contracts. As a result, energy futures market has gradually grown up. Energy futures market takes crude oil, refined petroleum products (such as heating oil, aviation kerosene) and other energy products, such as gas and electricity product as the underlying product, and trade through the new financial markets, which arose in the1980s. In1982, the first in the world crude oil futures contract, light sweet crude oil futures contract, successfully appeared in the New York mercantile exchange (NYMEX). Then various energy futures contracts launched around the world, and energy futures market has been developing rapidly and become more and more important in the energy market. What’s more, the volatility of energy futures affects world economy.Study on the jump spillover effects of energy futures market is of great significance to the real economy. Throughout the domestic and foreign literature, the researches of factors influencing the energy futures market volatility are not few, while most focus on one market or the relationship between the spot market and the futures market. This article will study on the jump spillover effects between two futures markets with two different underlying products. In the factors causing jumps in energy futures, Risk events occupy important position due to the abruptness, wide influence, unpredictability and difficulty to transfer. Based on the perspective of risk events, this paper mainly focus on the jump spillover effects between the crude oil futures and the natural gas futures.In the model selection, this paper chooses the stochastic volatility model with correlated jumps, namely we add jump factors in the process of futures returns and volatility, which can effectively depict the jump behavior in the futures market. In the method selection, we choose the Markov Chain Monte Carlo simulation method based on Gibbs sampling principle. Compared with maximum likelihood estimation method and moment estimation method, this MCMC method in solving the distribution of high dimension has higher efficiency and accuracy. Besides, the Bayesian MCMC method combines priori information and sample information for statistical inference. In addition to estimating model parameters, this method can estimate potential processes, which are of great value to the real economy.This paper estimates the corresponding stochastic volatility model with correlated jumps for the crude oil futures market and the natural gas futures market. Through the recognition of latent variables, we find the time points that jumps occur in the two futures markets. Associating the risk event at each time point with the fluctuation in two futures markets, we can find that the risk event and the fluctuation in two futures markets are highly correlated. In addition, we study the influence of jumps in one market to another market in view of the risk event. The empirical results show that the crude oil futures market and the natural gas futures market have significant jump spillover effect. Natural gas futures market is the leading market of the jump spillover effects.Based on the research of energy futures market at the point of risk events, it can be seen that the risk event impact on energy futures market has important influence, and even cause continuous fluctuation of the whole market. Every country should pay attention to the occurrence of risk events, establishing and perfecting the risk supervision department, timely forecasting, the analyzing of the effect of risk events and formulating targeted risk solutions in order to prevent substantially continuous fluctuations in the market and stabilize the national economy.