中国沿海集装箱运价指数波动特征研究

Study on Fluctuation Memory of China’s Tianjin Domestic Container Freight Index Based on HP Filter Analysis

为研究沿海集装箱运价指数波动的季节性、周期性、持续性以及非对称性规律,促进沿海集装箱运输市场健康发展,作者收集2012年10月至2021年10月沿海集装箱运价指数的周度数据作为样本,使用CensusX12季节调整方法、HP分析滤波方法以及ARCH族模型对其波动特征展开研究。结果显示,沿海集装箱运价指数具有明显的季节波动特点,并根据倒“U”型法将其划分为8个波动周期;其周指数收益率具有尖峰厚尾的特征,存在波动聚集性,对市场冲击的敏感性较弱,而波动持续性较强,且存在波动非对称效应。

In order to study the seasonality,periodicity,persistence and asymmetry of Tianjin Domestic Container Freight Index fluctuation and promote the healthy development of coastal container transportation market,the author collected the weekly data of Tianjin Domestic Container Freight Index from October 2012 to October 2021 as samples,and studied its fluctuation characteristics by using CensusX12 seasonal adjustment method,HP analysis filtering method and ARCH family model.The results show that the Tianjin Domestic Container Freight Index has obvious seasonal fluctuation characteristics,and it is divided into eight fluctuation cycles according to the inverted U-shaped method.The weekly index rate of return has the characteristics of peak and thick tail,with volatility aggregation,weak sensitivity to market shocks,strong volatility persistence and asymmetric volatility effect.