基于改進(jìn)EMD和BEKK-MVGARCH的干散貨FFA市場波動分析
本文關(guān)鍵詞：基于改進(jìn)EMD和BEKK-MVGARCH的干散貨FFA市場波動分析 出處：《大連海事大學(xué)》2014年碩士論文 論文類型：學(xué)位論文
更多相關(guān)文章： FFA市場 波動分析 經(jīng)驗(yàn)?zāi)Ｊ椒纸?/b> 波動溢出效應(yīng)
【摘要】：由于國際航運(yùn)業(yè)是一個變幻莫測的行業(yè),尤其是受社會、經(jīng)濟(jì)、政治、自然等眾多因素影響的國際干散貨航運(yùn)市場,其波動巨大,瞬息萬變的運(yùn)價給航運(yùn)經(jīng)營者帶來了巨大的風(fēng)險,所以產(chǎn)生了很多航運(yùn)衍生品,有效地幫助了投資者規(guī)避了風(fēng)險。其中最具代表性的衍生品FFA由于其航運(yùn)和金融的雙重屬性,其市場價格波動也較大,并且投資者的投資行為對FFA價格的影響也較大,研究FFA價格的內(nèi)在波動機(jī)理意義重大。因此,本文深入研究干散貨FFA價格的波動性以及不同F(xiàn)FA市場之間的波動溢出效應(yīng),為干散貨航運(yùn)市場經(jīng)營者與FFA投資者提供理論參考。 本文基于計(jì)量經(jīng)濟(jì)學(xué)理論,以干散貨市場的FFA價格為研究對象,基于改進(jìn)的EMD模型將FFA價格原始序列分解后,重構(gòu)成三部分,分別為高頻序列(正常市場價格波動)、低頻序列(重大突發(fā)事件影響)及長期趨勢價格；進(jìn)而通過BEKK-MVGARCH模型,結(jié)合FFA市場特點(diǎn),分析不同F(xiàn)FA市場的波動溢出效應(yīng)。 本文研究結(jié)果表明,Capesize型船F(xiàn)FA價格的高頻和低頻序列波動幅度較大,受影響較大,長期趨勢序列則Panamax型船波動幅度較大；C3航線FFA價格的高頻和低頻序列波動幅度較大,而C4航線的長期趨勢序列受影響程度較大；除了Capesize型船F(xiàn)FA市場對Panamax型船F(xiàn)FA市場波動溢出效應(yīng)不明顯外,這三個FFA市場之間均存在波動溢出效應(yīng)。通過研究結(jié)果可知,改進(jìn)的EMD方法可以有效揭示干散貨市場不同經(jīng)濟(jì)含義的時間序列特征,更好的把握不同的FFA市場價格波動特征及原因。
[Abstract]:Because the international shipping industry is an unpredictable industry, especially the international dry bulk shipping market which is influenced by social, economic, political, natural and other factors, its fluctuation is huge. The rapidly changing freight rates bring great risks to shipping operators, so a lot of shipping derivatives are produced. It has effectively helped investors to avoid risk. The most representative derivatives FFA, because of its shipping and financial dual attributes, its market price volatility is also large. And the investor's investment behavior also has a great influence on the FFA price, so it is significant to study the inherent fluctuation mechanism of FFA price. This paper deeply studies the volatility of dry bulk FFA price and the volatility spillover effect between different FFA markets, which provides a theoretical reference for dry bulk shipping market operators and FFA investors. Based on econometrics theory, this paper takes the FFA price of dry bulk market as the research object, decomposes the original sequence of FFA price based on the improved EMD model, and reconstitutes three parts. They are high frequency series (normal market price fluctuation), low frequency series (major sudden event impact) and long term trend price. Then the volatility spillover effects of different FFA markets are analyzed by BEKK-MVGARCH model and FFA market characteristics. The results show that the high frequency and low frequency series of FFA price of Capesize ship fluctuate greatly, and the long term trend series of Panamax ship fluctuate greatly. The high frequency and low frequency series of FFA price of C 3 route fluctuate greatly, while the long term trend sequence of C 4 route is affected greatly. In addition, the volatility spillover effect of Capesize type ship FFA market on Panamax type FFA market is not obvious. Through the research results, the improved EMD method can effectively reveal the time series characteristics of different economic meanings in dry bulk market. Better grasp different FFA market price fluctuation characteristics and reasons.
【學(xué)位授予單位】：大連海事大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F224;F551
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