基于GARCH模型的集装箱运价指数及其衍生品波动性研究  

The Volatility of SCFI and its Derivatives Based on GARCH Models

作　　者：王思远[1] 余思勤[1] 潘静静[2,3] 

机构地区：[1]上海海事大学经济管理学院,上海201306 [2]上海海事大学信息工程学院,上海201306 [3]福建农林大学交通与土木工程学院,福建福州350022

出　　处：《金融理论与实践》2017年第11期91-95,共5页Financial Theory and Practice

基　　金：国家自然科学基金青年项目(71101088);国家自然科学基金面上项目(71471109);福建省社科规划项目(FJ2015C107)

摘　　要：建立GARCH族模型对上海集装箱运价指数(SCFI)欧洲航线和美西航线指数、SCFI衍生品(欧洲航线和美西航线)价格的波动特征进行分析。ARCH效应检验发现只有美西航线衍生品价格去均值收益率序列存在条件异方差性,其他三个序列不存在ARCH效应。对美西航线衍生品价格去均值收益率序列建立GARCH模型,发现基于残差服从GED分布假设下的GARCH(1,1)最优,存在较强的波动持续性;美西航线衍生品收益率与风险无关。建立非对称GARCH模型分析美西航线衍生品价格去均值收益率的杠杆效应,TARCH和EGARCH模型均显示序列不存在杠杆效应。GARCH models are established to study the volatility characteristics of SCFI and its derivatives for two routes, Shanghai to Europe and Shanghai to US West Coast route. Heteroscedasticity is found exist only in the derivatives for US West Coast route through ARCH test. Under the assumption that the residuals obey GED distribution, GARCH（1,1） shows the best fitting effect. The sequence of US West Coast derivatives has a strong volatility persistence and the yields and ha no correlation with volatility. Asymmetric GARCH Models test for the leverage of derivatives yields. The TARCH and EGARCH model showed leverage effect does not exist.

关 键 词：水路运输 波动特征 GARCH模型 SCFI 运费衍生品 

分 类 号：F830.9[经济管理—金融学]