国际干散货运价指数波动的突变性研究

发布时间：2018-01-19 02:07

本文关键词： 国际干散货运价指数结构突变 ICSS运算法 GARCH模型　出处：《大连海事大学》2015年硕士论文　论文类型：学位论文

【摘要】：随着国际贸易的发展,海洋运输在世界经济发展中的作用逐渐显现。国际干散货运输市场作为航运市场的重要部分,其运输量已经占海运总量的大半个江山,其在航运市场中的地位举足轻重。但是近些年由于受到经济、政治以及自然条件等的影响,航运市场始终处于低迷状态,尤其是国际干散货航运市场价格波动剧烈、下滑严重,众多的航运企业面临倒闭的风险。如何更好地把握作为航运市场“晴雨表”的国际干散货运价指数的波动规律,以在这种不利形势下采取正确的财务战略并进行有效的风险控制,实现企业长期的生存和发展,成为航运企业亟需解决的问题。本文在国内外学者现有研究的基础上,借鉴突变性理论中突变点的确定方法,进行波罗的海干散货运价指数波动的突变性研究,在此基础上,深入分析干散货运输市场价格波动规律,研究结论有助于航运企业更有效地把握航运市场的变化,更有效地控制经营与投资风险,提高经济效益。本文首先是对国际干散货航运市场做简要的概述,包括干散货航运市场的要素分析等,同时对于干散货运价指数的突变性作定性分析。其次文中介绍了迭代累计平方和·(ICSS)运算法和GARCH族模型的具体运算思路,以及模型选择的可行性分析。实证分析部分一方面是运用ICSS运算法识别BDI指数日收益率序列中存在的结构突变点,同时找出重大突变点。另一方面是在此基础上将识别的突变点当作虚拟变量引入GARCH族模型中进行研究。最后在实证分析的基础上得出结论,BDI日收益率序列的结构突变性会严重影响波动的持续性,在研究中不可忽略突变性的影响。
[Abstract]:With the development of international trade, the role of maritime transport in the development of the world economy gradually appears. As an important part of the shipping market, the international dry bulk transport market has accounted for half of the total shipping volume. It plays an important role in the shipping market, but in recent years, because of the economic, political and natural conditions, the shipping market has always been in a depressed state. In particular, the international dry bulk shipping market prices fluctuate sharply, the decline is serious. Many shipping enterprises are facing the risk of bankruptcy. How to better grasp the fluctuation law of international dry bulk freight price index as a barometer of shipping market. In order to adopt the correct financial strategy and carry on the effective risk control under this kind of unfavorable situation, realizes the enterprise long-term survival and the development. On the basis of the existing research of domestic and foreign scholars, this paper uses the method of catastrophe point in catastrophe theory to study the volatility of Baltic dry bulk freight price index. On this basis, in-depth analysis of dry bulk transport market price fluctuations, the conclusion is helpful for shipping enterprises to more effectively grasp the changes in the shipping market, more effective control of management and investment risks. First of all, this paper gives a brief overview of the international dry bulk shipping market, including the analysis of the elements of the dry bulk shipping market. At the same time, the catastrophe of dry bulk freight price index is analyzed qualitatively. Secondly, the iterative cumulative sum of squares 路ICSS operation method and the GARCH family model are introduced. And the feasibility analysis of model selection. On the one hand, the empirical analysis part is to use the ICSS operation method to identify the structural mutation point in the daily return sequence of BDI index. On the other hand, the identified mutation point is introduced into the GARCH family model as a virtual variable. Finally, the conclusion is drawn on the basis of empirical analysis. The structural mutation of BDI daily return sequence will seriously affect the persistence of volatility, and the influence of mutation can not be ignored in the study.
【学位授予单位】：大连海事大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F551

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