能源是各國經濟發展歷程中不可缺少的重要因子，隨著人類文明的進步，各項天然資源也逐漸將消耗殆盡，其中，石油屬耗竭性能源，它的稀少性及特殊重要性使得油價的變動一向是大家矚目的焦點。 本文以1990年至2009年之美國西德州中級原油價格資料，利用GARCH與EGARCH模型，以及Bai與Perron (1998, 2003) 提出之結構轉變模型，找出樣本區間內是否存在結構轉變的狀況。 實證分析的結果發現：第一，油價並非維持平穩的波動，由樣本期間之國際油價序列資料可以發現2個結構轉變點。第二，由對稱條件異質變異數模型發現，氣候、供需變化、政治因素等與油價報酬的波動，確實造成顯著的影響。 Energy is an important and indispensable factor during the economic development. With the progress of human civilization, the natural resources will be gradually depleted. Since petroleum is belonged to the group of exhaustive resource, it can't be regenerated after being consumed. Owning to this scarcity and importance, oil price changes attract lots of attention in the whole world. This paper tried to indentify the structural change of crude oil price volatility, which can help us to find the significant structural breaks for these conditional volatility series measured by GARCH and EGARCH models. The daily price of U.S. West Texas Intermediate is collected form EIA database and the data begin from January, 1990 and end in December, 2009. This paper also adopts the structural change model proposed by Bai and Perron (1998, 2003) to implement our empirical analysis. Our findings indicate that: first, oil return volatility is not a stable series during the sample period, and we can find some significant structural breaks. Second, form the empirical models, we find that the climate, financial crisis and political factors will change oil supply and demand which will have influence on oil return conditional volatility series.
