【摘要】：干散貨指數(shù)收益率及其波動性受到航運界經(jīng)營者的廣泛關注,研究國際干散貨運價指數(shù)的變化特征及波動規(guī)律對干散貨運輸經(jīng)營者及投資者把握市場動態(tài)、制定投資決策起到至關重要的作用。本文將金融研究中廣泛使用的GARCH模型應用于國際干散貨運輸市場,考察運價指數(shù)波動規(guī)律,分析波動形成的原因,并對其進行簡單的評價。主要包括以下幾個部分： 首先,從國際干散貨運輸市場入手,對其市場特征、影響因素、市場供需狀況進行基本分析,多角度定性的研究國際干散貨運價指數(shù)波動的內(nèi)在原因。并對國際干散貨運價指數(shù)的產(chǎn)生發(fā)展、構成、計算方法做以簡單闡述。 其次,系統(tǒng)地介紹了ARCH模型、GARCH模型和EGARCH模型理論,對三個模型的優(yōu)缺點進行了分析,然后介紹每種模型在本文中的作用,并對模型的適用性進行了分析。 第三,收集波羅的海國際干散貨運價指數(shù)數(shù)據(jù),構建四種船型干散貨運價指數(shù)日收益率序列,描繪序列的走勢和基本統(tǒng)計特征,從總體上把握收益率的基本特點。 再次,運用GARCH模型對收益率波動的持續(xù)性和敏感性進行了研究,然后采用EGARCH模型對四種船型收益率的杠桿效應進行討論。 最后,在實證研究的基礎上總結國際干散貨運價指數(shù)的波動特征,對干散貨公司的經(jīng)營策略提出建議,并指出文章進一步研究的方向。
[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.
【學位授予單位】：大連海事大學
【學位級別】：碩士
【學位授予年份】：2010
【分類號】：F551;F224

【引證文獻】

相關碩士學位論文 前4條

1 王曉薇;基于SVM和混沌時間序列的干散貨運價指數(shù)預測研究[D];大連海事大學;2013年

2 石東仁;干散貨FFA市場與即期市場相關性及波動性研究[D];大連海事大學;2013年

3 賀強;基于GARCH模型的國際干散貨運價指數(shù)波動性研究[D];大連海事大學;2013年

4 鐘維鑫;遠期運費協(xié)議市場技術分析方法有效性研究[D];大連海事大學;2013年

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本文編號：2282449