基于GARCH模型的国际干散货运价指数波动性研究
发布时间：2018-10-20 07:22
【摘要】：干散货指数收益率及其波动性受到航运界经营者的广泛关注,研究国际干散货运价指数的变化特征及波动规律对干散货运输经营者及投资者把握市场动态、制定投资决策起到至关重要的作用。本文将金融研究中广泛使用的GARCH模型应用于国际干散货运输市场,考察运价指数波动规律,分析波动形成的原因,并对其进行简单的评价。主要包括以下几个部分： 首先,从国际干散货运输市场入手,对其市场特征、影响因素、市场供需状况进行基本分析,多角度定性的研究国际干散货运价指数波动的内在原因。并对国际干散货运价指数的产生发展、构成、计算方法做以简单阐述。 其次,系统地介绍了ARCH模型、GARCH模型和EGARCH模型理论,对三个模型的优缺点进行了分析,然后介绍每种模型在本文中的作用,并对模型的适用性进行了分析。 第三,收集波罗的海国际干散货运价指数数据,构建四种船型干散货运价指数日收益率序列,描绘序列的走势和基本统计特征,从总体上把握收益率的基本特点。 再次,运用GARCH模型对收益率波动的持续性和敏感性进行了研究,然后采用EGARCH模型对四种船型收益率的杠杆效应进行讨论。 最后,在实证研究的基础上总结国际干散货运价指数的波动特征,对干散货公司的经营策略提出建议,并指出文章进一步研究的方向。
[Abstract]:The rate of return of dry bulk cargo index and its volatility have received extensive attention from the shipping industry operators. This paper studies the change characteristics and fluctuation law of international dry bulk freight rate index for the operators and investors of dry bulk cargo transportation to grasp the market dynamics. Making investment decisions is crucial. This paper applies the GARCH model widely used in financial research to the international dry bulk transportation market, investigates the fluctuation law of the freight rate index, analyzes the causes of the volatility, and makes a simple evaluation of it. It mainly includes the following parts: first, starting with the international dry bulk transportation market, the market characteristics, influencing factors, market supply and demand conditions are analyzed. The internal reason of the fluctuation of international dry bulk freight price index is studied qualitatively from many angles. The generation, development, constitution and calculation method of international dry bulk freight rate index are briefly described. Secondly, the theory of ARCH model, GARCH model and EGARCH model are introduced systematically, and the advantages and disadvantages of the three models are analyzed. Then, the function of each model in this paper is introduced, and the applicability of the model is analyzed. Thirdly, collect the data of Baltic international dry bulk freight rate index, construct the daily return rate series of four types of dry bulk freight price index, describe the trend and basic statistical characteristics of the sequence, and grasp the basic characteristics of the rate of return on the whole. Thirdly, the GARCH model is used to study the persistence and sensitivity of yield volatility, and then the EGARCH model is used to discuss the leverage effect of four types of ship returns. Finally, on the basis of empirical research, this paper summarizes the fluctuation characteristics of international dry bulk freight rate index, puts forward some suggestions on the management strategy of dry bulk cargo companies, and points out the direction of further research in this paper.
【学位授予单位】：大连海事大学
【学位级别】：硕士
【学位授予年份】：2010
【分类号】：F551;F224
本文编号：2282449
[Abstract]:The rate of return of dry bulk cargo index and its volatility have received extensive attention from the shipping industry operators. This paper studies the change characteristics and fluctuation law of international dry bulk freight rate index for the operators and investors of dry bulk cargo transportation to grasp the market dynamics. Making investment decisions is crucial. This paper applies the GARCH model widely used in financial research to the international dry bulk transportation market, investigates the fluctuation law of the freight rate index, analyzes the causes of the volatility, and makes a simple evaluation of it. It mainly includes the following parts: first, starting with the international dry bulk transportation market, the market characteristics, influencing factors, market supply and demand conditions are analyzed. The internal reason of the fluctuation of international dry bulk freight price index is studied qualitatively from many angles. The generation, development, constitution and calculation method of international dry bulk freight rate index are briefly described. Secondly, the theory of ARCH model, GARCH model and EGARCH model are introduced systematically, and the advantages and disadvantages of the three models are analyzed. Then, the function of each model in this paper is introduced, and the applicability of the model is analyzed. Thirdly, collect the data of Baltic international dry bulk freight rate index, construct the daily return rate series of four types of dry bulk freight price index, describe the trend and basic statistical characteristics of the sequence, and grasp the basic characteristics of the rate of return on the whole. Thirdly, the GARCH model is used to study the persistence and sensitivity of yield volatility, and then the EGARCH model is used to discuss the leverage effect of four types of ship returns. Finally, on the basis of empirical research, this paper summarizes the fluctuation characteristics of international dry bulk freight rate index, puts forward some suggestions on the management strategy of dry bulk cargo companies, and points out the direction of further research in this paper.
【学位授予单位】：大连海事大学
【学位级别】：硕士
【学位授予年份】：2010
【分类号】：F551;F224
【引证文献】
相关硕士学位论文 前4条
1 王晓薇;基于SVM和混沌时间序列的干散货运价指数预测研究[D];大连海事大学;2013年
2 石东仁;干散货FFA市场与即期市场相关性及波动性研究[D];大连海事大学;2013年
3 贺强;基于GARCH模型的国际干散货运价指数波动性研究[D];大连海事大学;2013年
4 钟维鑫;远期运费协议市场技术分析方法有效性研究[D];大连海事大学;2013年
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