计量经济学报

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中国新能源市场、金融市场和国际原油市场间的多尺度风险传染效应研究

戴志锋, 刘畅

计量经济学报, 2024, 4(3): 835-857. DOI: 10.12012/CJoE2023-0091

变量	$ \eta_1 $	$ \eta_2 $	$ \theta_1 $	$ \theta_2 $	$ \alpha_0 $	$ \alpha_1 $	$ \beta_1 $	$ \beta_2 $	$ \gamma_1 $	$ v $	KS
原始序列
ZNE	-1.159^***	-0.979^***	1.170^***	0.984^***	0.013^***	-0.010	1.000^***	-0.010^***	0.143^***	6.538
ZNE	(0.006)	(0.004)	(0.006)	(0.000)	(0.003)	(0.009)	(0.000)	(0.002)	(0.001)	(0.628)	1
CF	-0.273^***	-0.997^***	0.272^***	0.999^***	0.009^**	0.006	1.000^***	-0.010^***	0.136^***	4.185
CF	(0.001)	(0.001)	(0.001)	(0.000)	(0.002)	(0.010)	(0.000)	(0.001)	(0.010)	(0.316)	1
WTI	1.561^***	-0.994^***	-1.565^***	0.994^***	0.028^**	-0.093^***	0.819^***	0.163^***	0.172^***	5.497
WTI	(0.002)	(0.002)	(0.002)	(0.000)	(0.005)	(0.013)	(0.001)	(0.003)	(0.020)	(0.509)	1
短期时间尺度
ZNE	-0.782^***	-0.642^***	-1.920^***	0.934^***	-0.119^***	-0.069	0.564^***	0.391^***	0.441^***	37.169
ZNE	(0.016)	(0.014)	(0.003)	(0.002)	(0.024)	(0.020)	(0.078)	(0.077)	(0.044)	(40.245)	1
CF	-0.857^***	-0.626^***	-1.882^***	0.903^***	-0.112^**	-0.024	0.645^***	0.319^***	0.448^***	17.524
CF	(0.015)	(0.013)	(0.003)	(0.000)	(0.021)	(0.020)	(0.074)	(0.074)	(0.039)	(1.371)	1
WTI	-0.810^***	-0.588^***	-1.865^***	0.887^***	-0.110^**	-0.090^***	0.749^***	0.203^***	0.537^***	11.598
WTI	(0.016)	(0.014)	(0.000)	(0.000)	(0.012)	(0.020)	(0.066)	(0.065)	(0.044)	(0.067)	1
中期时间尺度
ZNE	0.834^***	-0.644^***	1.911^***	0.936^***	-0.164^***	-0.055	0.798^***	0.172^***	0.340^***	13.595
ZNE	(0.015)	(0.014)	(0.000)	(0.003)	(0.033)	(0.016)	(0.028)	(0.025)	(0.030)	(2.290)	1
CF	0.844^***	-0.666^***	1.947^***	0.955^***	-0.215^**	-0.025	0.758^***	0.206^***	0.383^***	10.248
CF	(0.015)	(0.014)	(0.000)	(0.000)	(0.048)	(0.018)	(0.002)	(0.011)	(0.036)	(1.574)	1
WTI	0.762^***	-0.637^***	1.868^***	0.892^***	-0.210^**	-0.069^***	0.717^***	0.242^***	0.477^***	9.549
WTI	(0.016)	(0.013)	(0.000)	(0.000)	(0.037)	(0.020)	(0.075)	(0.073)	(0.042)	(1.352)	1

表2 ARMA-EGARCH-t模型的估计结果

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