海上丝路指数的波动性分析  

Research on the Volatility of the Marine Silk Road Index

作　　者：华丽静 岑仲迪[1] HUA Li-jing;CEN Zhong-di(Zhejiang Wanli University, Ningbo, Zhejiang 315100)

机构地区：[1]浙江万里学院,浙江宁波315100

出　　处：《浙江万里学院学报》2019年第2期16-22,共7页Journal of Zhejiang Wanli University

基　　金：浙江省高校重大人文社科攻关计划项目(2018GH020);国家大学生创新创业训练计划项目(201710876009)

摘　　要：文章对海上丝路指数收益率序列的平稳性、相关性以及异方差性进行了检验和分析,选择GARCH族模型进行建模,结合海上丝路指数收益率序列的杠杆效应分析,建构EGARCH模型;再利用所构建的EGARCH模型对样本期外的运价进行预测,以验证该模型的合理性。结果表明:该模型较好地刻画了海上丝路指数的波动情况,可为航运企业经营和决策提供参考依据。This paper examined and analyzed the stationarity, correlation and heteroscedasticity of the return rate series of the maritime silk road index, determined the choice of GARCH family model for modeling, and combined the leverage effect analysis of the return rate series of the maritime silk road index, and finally constructed the EGARCH model. Finally, the EGARCH model was used to forecast the out-of-sample freight to verify the rationality of the model. The results showed that the model could well describe the fluctuation of the index of maritime silk road, and could provide basis and reference for the operation and decision-making of shipping enterprises.

关 键 词：海上丝路指数 平稳性检验 相关性检验 ARCH族模型 杠杆效应 

分 类 号：F551[经济管理—产业经济]