海上丝路运价指数波动研究分析--基于宁波集装箱运价综合指数  

Research and Analysis on the Fluctuation of Freight Rate Index on the Offshore Silk Road--Based on Ningbo Container Freight Index

作　　者：赵海 ZHAO Hai(Ningbo University,315211,Ningbo,Zhejiang,China)

机构地区：[1]宁波大学,浙江宁波315211

出　　处：《特区经济》2020年第3期35-38,共4页Special Zone Economy

摘　　要：在"一带一路"倡议下,宁波建立了海上丝路指数,其中集装箱综合运价指数即NCFI是航运业的晴雨表。通过研究发现,NCFI综合指数具有波动聚集性的特性,其NCFI综合指数的收益率存在一阶单整效应,通过对数据的整理和分析得到NCFI综合指数的收益率存在自相关,扰动项存在异方差。通过对比分析,对NCFI综合运价指数收益率建立GARCH(1,1)模型,前一期的影响对本期的影响是相对比较大的,上一期的风险也给本期的风险带来很大的影响通过。对NCFI综合运价指数的波动分析可以全面的了解整体市场的运行波动情况以及目前市场的风险程度。Under the initiative of the Belt and Road Initiative, Ningbo established the Maritime Silk Road Index, in which the container comprehensive freight index, NCFI, is a barometer of the shipping industry.Through the research, it is found that the NCFI composite index has the characteristics of volatility clustering, and the yield of the NCFI composite index has a first-order single-integration effect. Through the collation and analysis of the data, there is autocorrelation in the yield of the NCFI composite index, and the disturbance term is different. variance.Through comparative analysis,the GARCH(1,1) model is established for the NCFI comprehensive freight index yield. The impact of the previous impact on the current period is relatively large. The risk of the previous period also brings a lot of risk to the current period. The big influence passed. The analysis of the fluctuations of the NCFI.

关 键 词：海上丝路指数 NCFI GARCH(1 1) 

分 类 号：F832.1[经济管理—金融学]