| 不同分布的GARCH族模型的波罗的海干散货运价指数波动率 |
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| 引用本文： | 翟海杰,李序颖.不同分布的GARCH族模型的波罗的海干散货运价指数波动率[J].上海海事大学学报,2009,30(3):59-64. |
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| 作者姓名： | 翟海杰 李序颖 |
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| 作者单位： | 上海海事大学,经济管理学院,上海,200135 |
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| 基金项目： | 上海海事大学校基金项目 |
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| 摘 要： | 为把握航运市场状态,实现航运资源的有效配置,利用GARCH族模型实证研究波罗的海干散货运价指数(Baltic Dry Index, BDI),对其收益率序列和波动率进行建模.通过比较基于不同分布情况的各模型优劣,找出最适合的模型.研究表明,在单纯描述BDI波动率时,采用服从t分布的GARCH(1,2)模型,更能反映BDI收益率序列的尖峰厚尾性;在描述BDI波动率的杠杆效应时,采用正态分布假设下的TGRACH(1,2)对其进行描述更合适.
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| 关 键 词： | 波罗的海干散货运价指数 ADF检验 |
| 收稿时间： | 2008/11/26 0:00:00 |
| 修稿时间： | 2009/3/10 0:00:00 |
Volatility of Baltic Dry Index using GARCH type models with different distributions |
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| ZHI Haijie,LI Xuying.Volatility of Baltic Dry Index using GARCH type models with different distributions[J].Journal of Shanghai Maritime University,2009,30(3):59-64. |
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| Authors: | ZHI Haijie LI Xuying |
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| Institution: | Shanghai Maritme University School of Economics and Management,School of Economics & Management, Shanghai Maritime Univ. |
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| Abstract: | In order to grasp the shipping market and realize that the shipping resources are allocated effectively, GARCH models are used to conduct an econometric research on the Baltic Dry Index (BDI). The models are made to the return and volatility equations. By comparing the advantages and disadvantages of different models with different distributions, the most suitable model is obtained. The empirical result shows that the GARCH(1,2) model with the t distribution is the best to fit the volatility of Baltic Dry Index, and TGRACH(1,2) with normal distribution is more appropriate to describe the leverage effect of BDI. |
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| Keywords: | GARCH TGARCH EGARCH GARCH-M |
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