布伦特油价波动研究及其与BDI指数的关系研究——基于VAR-GARCH模型

Research on Brent’s Oil Price Fluctuation and Its Relationship with BDI Index—Based on VAR-GARCH Model

本文以BDI指数和布伦特油价为基础建立时间序列模型,试图测量两者之间的关系。首先对布伦特油价数据的处理主要采取对数差分法,可以消除序列的非平稳性,并降低计算难度,因而在研究实践中具有较高的实用性。然后对布伦特油价数据进行描述性分析,再建立GARCH模型对原数据进行拟合,最后将油价与BDI数据建立VaR模型。本文使用的软件是Eviews。

In this paper, the time series model is established based on the BDI index and the Brent oil price, which attempts to measure the relationship between the two series. First, the disposal of the Brent oil price data mainly with the logarithmic difference method can eliminate non-stationary sequences, and reduce the difficulty of calculation, so it has high practicability in practice. Then the Brent oil price data were analyzed by descriptive analysis, and then established the GARCH model to fit the original data, and finally established the VaR model between oil prices and BDI data. In this paper, we used the Eviews software.