"一带一路"倡议前后干散货运价指数波动特征研究——基于广义双曲线非对称随机波动模型

Research on the Volatility Characteristics of Dry Bulk Freight Index Before and After the"Belt and Road"Initiative-Based on the Generalized Hyperbolic Asymmetric Stochastic Volatility Model

对航运市场中干散货运价指数收益率序列构建了广义双曲线偏t分布非对称随机波动模型,并运用MCMC方法对模型进行估计,进而对"一带一路"倡议前后干散货航运市场波动特征进行了比较研究.实证结果表明:与倡议提出前比较,倡议提出后干散货运价指数收益率序列呈现左偏态,波动水平有增大趋势,波动的持续性和聚集性稍有减弱,干散货市场非对称杠杆效应有所下降,尖峰厚尾性更加突出,波动噪音有所减少.

This paper constructs a generalized hyperbolic skew t distribution asymmetric stochastic volatility model for the dry bulk freight index yield series in the shipping market,and uses the MCMC method to estimate the model parameters,and then compares the volatility characteristics of dry bulk shipping market before and after the"Belt and Road"initiative.The empirical results show that compared with before,the volatility level of the dry bulk freight index return sequence after the"Belt and Road"initiative shows a left-skewed state,the level of volatility tends to increase,the continuity and clustering of volatility has slightly weakened,the asymmetric leverage effect of the dry bulk market has declined,the peak and thick tail has become more prominent,and the volatility noise has been reduced.