基于ARCH族模型的超灵便型船运价指数研究

Supramax BSI Index Based on ARCH Family Models

为了研究超灵便型船运价指数的波动性,把握超灵便型船运市场的走势,通过对超灵便型船收益率序列的平稳性和异方差性的分析和检验,验证了BSI日收益率序列的平稳性和高阶异方差性。通过分析比较得出基于t分布的GARCH(2,1)模型,能够更好地描述BSI日收益率序列的波动集聚效应,结合实际分析了BSI指数特殊波动的原因。最后利用TARCH模型和EGARCH模型对比分析得出BSI日收益率序列的杠杆效应。其研究成果可以为超灵便型船的航运经营提供决策支持。

In order to research the volatility of BSI index and grasp the trend of supramax shipping market,the supramax index return series was proved to be stationary and have higher heteroscedasticity after analyzing and testing.The GARCH（2,1） model with the student-t distribution can reflect the volatility clustering phenomenon well by analysis and comparison.And then,the reasons of some special volatility were discussed.Finally,leverage effect of BSI return series was figured out by analysis and comparison of TARCH model and EGARCH model.The conclusion of this research can provide a scientific decision making for supramax shipping operation.