波罗的海好望角型船运价指数波动分析

Analysis on Baltic Capesize Index volatility

为提高国际干散货航运市场预测的可靠性,通过对国际干散货航运市场中波罗的海好望角型船市场运价指数(Baltic Capesize Index,BCI)序列以及对数收益率序列的平稳性、异方差性进行分析和检验,验证了BCI半月对数序列存在单位根,是非平稳序列,服从随机游走的假设.对BCI半月对数收益率序列进行单位根检验的结果表明,BCI半月对数收益率序列是平稳的.通过使用GARCH(1,1)模型分析发现,BCI半月对数收益率序列有明显的波动集聚效应.结论可用于国际干散货航运市场预测方法的改善.

In order to improve the reliability of forecasting international dry bulk shipping market, after analyzing and testing the stationarity and heteroscedastic for the BCI （Baltic Capesize Index） series and return ratio series, it is proved that there exists an unit root for BCI half-month series, and it is unstationarity and is a random walk. The result of the unit root testing on BCI half-month return ratio series proves that it is stationary. With GARCH （1,1）model analysis, it is found obviously that BCI series is of convergency phenomenon. The results are useful for improving the forecasting methods of international dry bulk shipping market.