| ARCH族模型在干散货运价指数分析中的应用 |
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| 引用本文： | 陆克从,赵刚,胡佳骅.ARCH族模型在干散货运价指数分析中的应用[J].系统工程,2008,26(9). |
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| 作者姓名： | 陆克从 赵刚 胡佳骅 |
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| 作者单位： | 上海海事大学,交通运输学院,上海,200135 |
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| 摘 要： | 为了改善国际干散货航运市场预测的可靠性,通过对国际干散货航运市场运价指数(BDI)收益率序列的平稳性、异方差性进行分析和检验,验证BDI收益率序列是平稳的.通过使用GARCH(1,1)模型分析发现BDI收益率序列有明显的波动集聚效应并结合实际分析特别波动的原因.同时利用EGARCH模型刻画不同时期外部信息对国际干散货市场造成的影响以及区别.结论可用于国际干散货航运市场预测方法的改善.
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| 关 键 词： | 收益率序列 平稳性 异方差性 |
The Application of ARCH Family Models in the Analysis of BDI |
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| LU Ke-cong,ZHAO Gang,HU Jia-hua.The Application of ARCH Family Models in the Analysis of BDI[J].Systems Engineering,2008,26(9). |
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| Authors: | LU Ke-cong ZHAO Gang HU Jia-hua |
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| Institution: | Shanghai Maritime University;Shanghai 200135;China |
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| Abstract: | To improve the reliability of forecasting international dry bulk shipping market,the Baltic dry bulk Index(BDI) return series is proved to be stationary after analyzing and testing its stationarity and heteroscedasticity.By using GARCH(1,1) model as an analysis method,we find that BDI return ratio series has an obvious volatility clustering effect,and then we analyze the reason for it.EGARCH model also illustrates the impact of the external information on international dry bulk shipping markets during diffe... |
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| Keywords: | BDI |
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