Analysis Of Volatility In Petroleum Listed Companies Based On SV Model

Petroleum becomes a quite hot topic of research because of its inherent characteristics and tremendous utilities. The petroleum reserves on the planet is fixed, however, we can’t live without it in our life. With the lapse of time, petroleum will finally become exhausted. There are such a large amount of reasons which will cause the international oil price fluctuates frequently. The fluctuation will influence China which is a country with a large number of people and poor resources a lot. The Chinese stock market is one of them. Chinese stock market has a shorter period of history comparing to the developed countries and it is sensitive to the external stimulations. The shares prices deviate from the normal pricing mechanism which is harmful to the healthy and stable developing of Chinese economy. So it is necessary to do researches on the volatility of stock price. The volatility of stock price is always the hot topic of scholars’ researches. However, the researches in existence are all separate studies which focus on one of them and never consider them together. Consequently, the research purpose of this paper is to do researches on the volatility of petroleum listed companies. And at the end of this paper, we will use the results to predict the volatility of stock price in the future.In this paper, we will use the SV model and GARCH model to do some researches on the volatility of petroleum listed companies in our country and choose some data which in a certain period as the study objects. During the research, we divide the data into two parts which include the mining industry and the manufacturing industry. After the analysis of the data, my results show that the SV model is better than the GARCH model to capture the characteristics of volatility clustering and excess kurtosis and heteroskedasticity. And we also can simulate the volatility well and get a series of data with the use of R software. Then we can use the data to predict the trend of the stock price’s volatility which is out of sample data and show the complicate economic dynamics before us directly. At the end of the paper, we will give some suggestion from two aspects about petroleum and stock market.