基于ARCH族模型的沿海煤炭运价指数波动性评价  

Evaluation of Coastal Coal Freight Rates Volatility Based on ARCH Family Models

作　　者：刘翠莲[1] 刘健美[1] 杨娟[1] 马睿[2] 

机构地区：[1]大连海事大学交通运输管理学院,大连116026 [2]南开大学软件工程学院,天津300071

出　　处：《武汉理工大学学报（交通科学与工程版）》2012年第3期445-449,共5页Journal of Wuhan University of Technology（Transportation Science & Engineering）

基　　金：教育部人文社会科学研究规划基金项目(批准号:11YJA790084);国家自然科学基金项目(批准号:71072081)资助

摘　　要：为较好的刻画我国沿海煤炭运价指数的内在波动规律,采用描述金融时间序列波动性的ARCH族模型进行分析.选取上海航运交易所发布的我国沿海煤炭综合运价指数、秦皇岛-广州、秦皇岛-上海、秦皇岛-宁波3条航线煤炭运价指数为实证研究对象,结果表明:煤炭运价指数收益率序列呈现明显的尖峰厚尾性;GARCH模型能较好的描述煤炭运价指数波动的敏感性及持续性;EGARCH,TGARCH模型能较好的反应煤炭运价指数波动的非对称性.In order to describe the volatility rule of China＇s coastal coal freight index better, ARCH family models are introduced, which are often used to describe the volatility of financial time series. Choosing China＇s coastal coal comprehensive freight index . Qinhuangdao--Guangzhou. Qinhuangdao --Shanghai and Qinhuangdao--Ningbo routes freight index which are issued by Shanghai shipping exchange as empirical research object. The results show that the coal freight index yield sequence was kurtosis, thick tail; GARCH model can describe the sensitivity and sustainability of the coal freight rate effectively; EGARCH,GARCH models can better response the non-symmetry of the coal freight rate.

关 键 词：沿海煤炭运价指数 波动性 运价指数收益率 评价 ARCH族模型 

分 类 号：F552[经济管理—产业经济]