【摘要】：干散貨指數(shù)收益率及其波動(dòng)性受到航運(yùn)界經(jīng)營(yíng)者的廣泛關(guān)注,研究國(guó)際干散貨運(yùn)價(jià)指數(shù)的變化特征及波動(dòng)規(guī)律對(duì)干散貨運(yùn)輸經(jīng)營(yíng)者及投資者把握市場(chǎng)動(dòng)態(tài)、制定投資決策起到至關(guān)重要的作用。本文將金融研究中廣泛使用的GARCH模型應(yīng)用于國(guó)際干散貨運(yùn)輸市場(chǎng),考察運(yùn)價(jià)指數(shù)波動(dòng)規(guī)律,分析波動(dòng)形成的原因,并對(duì)其進(jìn)行簡(jiǎn)單的評(píng)價(jià)。主要包括以下幾個(gè)部分： 首先,從國(guó)際干散貨運(yùn)輸市場(chǎng)入手,對(duì)其市場(chǎng)特征、影響因素、市場(chǎng)供需狀況進(jìn)行基本分析,多角度定性的研究國(guó)際干散貨運(yùn)價(jià)指數(shù)波動(dòng)的內(nèi)在原因。并對(duì)國(guó)際干散貨運(yùn)價(jià)指數(shù)的產(chǎn)生發(fā)展、構(gòu)成、計(jì)算方法做以簡(jiǎn)單闡述。 其次,系統(tǒng)地介紹了ARCH模型、GARCH模型和EGARCH模型理論,對(duì)三個(gè)模型的優(yōu)缺點(diǎn)進(jìn)行了分析,然后介紹每種模型在本文中的作用,并對(duì)模型的適用性進(jìn)行了分析。 第三,收集波羅的海國(guó)際干散貨運(yùn)價(jià)指數(shù)數(shù)據(jù),構(gòu)建四種船型干散貨運(yùn)價(jià)指數(shù)日收益率序列,描繪序列的走勢(shì)和基本統(tǒng)計(jì)特征,從總體上把握收益率的基本特點(diǎn)。 再次,運(yùn)用GARCH模型對(duì)收益率波動(dòng)的持續(xù)性和敏感性進(jìn)行了研究,然后采用EGARCH模型對(duì)四種船型收益率的杠桿效應(yīng)進(jìn)行討論。 最后,在實(shí)證研究的基礎(chǔ)上總結(jié)國(guó)際干散貨運(yùn)價(jià)指數(shù)的波動(dòng)特征,對(duì)干散貨公司的經(jīng)營(yíng)策略提出建議,并指出文章進(jìn)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.
【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】：2010
【分類號(hào)】：F551;F224

【引證文獻(xiàn)】

相關(guān)碩士學(xué)位論文 前4條

1 王曉薇;基于SVM和混沌時(shí)間序列的干散貨運(yùn)價(jià)指數(shù)預(yù)測(cè)研究[D];大連海事大學(xué);2013年

2 石東仁;干散貨FFA市場(chǎng)與即期市場(chǎng)相關(guān)性及波動(dòng)性研究[D];大連海事大學(xué);2013年

3 賀強(qiáng);基于GARCH模型的國(guó)際干散貨運(yùn)價(jià)指數(shù)波動(dòng)性研究[D];大連海事大學(xué);2013年

4 鐘維鑫;遠(yuǎn)期運(yùn)費(fèi)協(xié)議市場(chǎng)技術(shù)分析方法有效性研究[D];大連海事大學(xué);2013年

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本文編號(hào)：2282449