国际干散货不同时期的FFA相关性研究

Research on Dependency about International Dry Cargo FFA Between Different Period

选取国际干散货远期运费协议市场的巴拿马型船四条期租航线均价的现货价格、一个月期价格、一个季度价格和一年期价格来研究不同时期的FFA市场相关性。先利用GARCH对数据进行处理,然后根据二元频数直方图建立相应的Copula模型,通过模型对序列进行相关程度和相关模式进行分析。结果表明,近期的FFA价格与远期的FFA价格之间的相关性较低,趋近于渐进独立的对称相关模式;越是远期FFA价格之间的相关性越高,相关模式越趋向于高的对称尾部相关。

Choose the spot price, one month, one quarter and one year period forward freight agreement price of BPI T/C average to research the dependency of FFA market between different period. At first, employ GARCH model to deal with the original data, then build the Copula model through two element histogram, and finally the degree and pattern of dependency of the series are analyzed through the copula model. Results show： the dependency of the recent FFA to the forward is weak, and the dependency model is close to independent symmetry-related pattern. The time further, the dependency more related, and the dependency model is close to high symmetry pattern.