本文關(guān)鍵詞： 國際干散貨運(yùn)價(jià)指數(shù) 結(jié)構(gòu)突變 ICSS運(yùn)算法 GARCH模型　出處：《大連海事大學(xué)》2015年碩士論文　論文類型：學(xué)位論文

【摘要】：隨著國際貿(mào)易的發(fā)展,海洋運(yùn)輸在世界經(jīng)濟(jì)發(fā)展中的作用逐漸顯現(xiàn)。國際干散貨運(yùn)輸市場(chǎng)作為航運(yùn)市場(chǎng)的重要部分,其運(yùn)輸量已經(jīng)占海運(yùn)總量的大半個(gè)江山,其在航運(yùn)市場(chǎng)中的地位舉足輕重。但是近些年由于受到經(jīng)濟(jì)、政治以及自然條件等的影響,航運(yùn)市場(chǎng)始終處于低迷狀態(tài),尤其是國際干散貨航運(yùn)市場(chǎng)價(jià)格波動(dòng)劇烈、下滑嚴(yán)重,眾多的航運(yùn)企業(yè)面臨倒閉的風(fēng)險(xiǎn)。如何更好地把握作為航運(yùn)市場(chǎng)“晴雨表”的國際干散貨運(yùn)價(jià)指數(shù)的波動(dòng)規(guī)律,以在這種不利形勢(shì)下采取正確的財(cái)務(wù)戰(zhàn)略并進(jìn)行有效的風(fēng)險(xiǎn)控制,實(shí)現(xiàn)企業(yè)長期的生存和發(fā)展,成為航運(yùn)企業(yè)亟需解決的問題。本文在國內(nèi)外學(xué)者現(xiàn)有研究的基礎(chǔ)上,借鑒突變性理論中突變點(diǎn)的確定方法,進(jìn)行波羅的海干散貨運(yùn)價(jià)指數(shù)波動(dòng)的突變性研究,在此基礎(chǔ)上,深入分析干散貨運(yùn)輸市場(chǎng)價(jià)格波動(dòng)規(guī)律,研究結(jié)論有助于航運(yùn)企業(yè)更有效地把握航運(yùn)市場(chǎng)的變化,更有效地控制經(jīng)營與投資風(fēng)險(xiǎn),提高經(jīng)濟(jì)效益。本文首先是對(duì)國際干散貨航運(yùn)市場(chǎng)做簡(jiǎn)要的概述,包括干散貨航運(yùn)市場(chǎng)的要素分析等,同時(shí)對(duì)于干散貨運(yùn)價(jià)指數(shù)的突變性作定性分析。其次文中介紹了迭代累計(jì)平方和·(ICSS)運(yùn)算法和GARCH族模型的具體運(yùn)算思路,以及模型選擇的可行性分析。實(shí)證分析部分一方面是運(yùn)用ICSS運(yùn)算法識(shí)別BDI指數(shù)日收益率序列中存在的結(jié)構(gòu)突變點(diǎn),同時(shí)找出重大突變點(diǎn)。另一方面是在此基礎(chǔ)上將識(shí)別的突變點(diǎn)當(dāng)作虛擬變量引入GARCH族模型中進(jìn)行研究。最后在實(shí)證分析的基礎(chǔ)上得出結(jié)論,BDI日收益率序列的結(jié)構(gòu)突變性會(huì)嚴(yán)重影響波動(dòng)的持續(xù)性,在研究中不可忽略突變性的影響。
[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.
【學(xué)位授予單位】：大連海事大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2015
【分類號(hào)】：F551

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本文編號(hào)：1442146