| 波罗的海干散货运价指数波动性研究 |
| |
| 引用本文： | 杨华龙,刘金霞,范永辉.波罗的海干散货运价指数波动性研究[J].中国航海,2011,34(3). |
| |
| 作者姓名： | 杨华龙 刘金霞 范永辉 |
| |
| 作者单位： | 大连海事大学交通运输管理学院,辽宁大连,116026 |
| |
| 基金项目： | 国家自然科学基金项目(70972008,70971014) |
| |
| 摘 要： | 为把握国际干散货市场运价指数的波动特征,规避航运经营风险,建立基于广义的自回归条件异方差(GARCH)的运价指数波动模型.选取四种船型的波罗的海干散货运价指数BCI、BPI、BHI、BSI作为研究的样本数据.利用EVIEWS软件,通过分析样本数据的基本统计特征和ARCH效应检验等,对四种船型分别建立了GARCH(1,1)模型.实例验证表明模型能很好地反映波罗的海干散货运价指数波动的敏感性和持续性规律,从而可为航运经营提供决策支持.
|
| 关 键 词： | 交通运输经济学 于散货 运价指数 广义自回归条件异方差 模型 规律 |
Study of Volatility of Baltic Dry Bulk Freight Index Based on GARCH Model |
| |
| Yang Hualong,Liu Jinxia,Fan Yonghui.Study of Volatility of Baltic Dry Bulk Freight Index Based on GARCH Model[J].Navigation of China,2011,34(3). |
| |
| Authors: | Yang Hualong Liu Jinxia Fan Yonghui |
| |
| Institution: | Yang Hualong,Liu Jinxia,Fan Yonghui(Transportation Management College,Dalian Maritime University,Dalian 116026,China) |
| |
| Abstract: | A volatility model of freight index is established,based on General Autoregressive Conditional Hereoskedasticity(GARCH) model in order to understand the characteristics of freight rate fluctuation in international shipping dry-bulk market and evade shipping operation risk.The freight indexes of four Baltic dry-bulk ship forms i.e.BCI,BPI,BSI and BHSI are chosen as sample data of the study.Four GARCH(1,1) models for the four indexes are established,respectively,through basic statistical characteristics analy... |
| |
| Keywords: | traffic transport economics dry-bulk freight index GARCH model law |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
|
