Using ARIMA-GARCH Model to Analyze Fluctuation Law of International Oil Price

Table 1

Test results of stationarity of each variable.

Variable	D	(C, T, K)	ADF test value	Critical value of ADF at significance level			Stationarity
				1%	5%	10%
WTI	0	(C, 0, 1)	−1.7004	−3.46	−2.88	−2.57	Nonstationarity
dWTI	1	(0, 0, 1)	−7.6897	−2.58	−1.95	−1.62	Stationarity

Note: the unit root test assumes that a sequence has a unit root. (C, T, K) denotes the constant term, the time trend, and the best delay term of the unit root test equation, respectively. C (or t) means excluding constant or trend terms. The delay term is added to make the residual term white noise. The selection criteria of lag period refer to SC criterion.