基于广义自回归条件异方差模型的世界原油运价风险分析

Freight rate risk analysis of world crude oil based on GARCH model

为有效评估世界原油运价风险,根据世界原油运输市场运费收益的基本特性,选用基于广义误差分布(Generalized Error Distribution,GED)的广义自回归条件异方差(Generalized Auto-Re-gressive Conditional Heteroskedasticity,GARCH)模型,计算原油运价收益率波动的风险值.该模型很好地描述了运价收益率曲线尖峰厚尾、波动聚集性以及杠杆效应等特征.以波罗的海航运交易所发布的波罗的海原油油船运价指数(Baltic Dirty Tanker Index,BDTI)为例进行研究分析,检验结果表明该方法有效.

In order to evaluate freight rate risk of world crude oil effectively, according to the basic properties of freight revenue in world crude oil transportation market, the Generalized Auto-Regressive Conditional Heteroskedasticity（GARCH） model based on Generalized Error Distribution（GED） is used to calculate the risk value of freight rate yield volatility of crude oil. The model depicts the characteristics of freight rate yield curve perfectly, such as sharp peak and heavy tail, volatility clustering, leverage effect and so on. Baltic Dirty Tanker Index（BDTI） which is issued by Baltic Exchange is taken as an example to study and analyze. The result shows that the method is effective.