| 基于ARCH族模型的中国出口集装箱运价指数波动特征 |
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| 引用本文： | 朱玉华,赵刚.基于ARCH族模型的中国出口集装箱运价指数波动特征[J].上海海事大学学报,2013,34(3):48-53. |
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| 作者姓名： | 朱玉华 赵刚 |
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| 作者单位： | 上海海事大学 交通运输学院,上海海事大学 交通运输学院 |
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| 基金项目： | 国家社会科学基金青年项目（11CGL077）；上海市重点学科建设项目（S306601）；上海海事大学科研基金（20120113） |
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| 摘 要： | 为改善中国出口集装箱运输市场预测的可靠性,选取上海航运交易所发布的样本区间为2000年1月7日至2012年8月31日中国出口集装箱运价指数(China Containerized Freight Index,CCFI)的周数据,对CCFI收益率序列的平稳性、异方差性进行分析和检验.利用广义自回归条件异方差(Generalized Auto-Regressive Conditional Heteroskedasticity,GARCH)模型描述CCFI波动的集聚性和敏感性,利用指数GARCH(EGARCH)模型分析CCFI波动的非对称性.结果表明,CCFI收益率序列是平稳的,集装箱运价波动具有反杠杆效应.该方法可为提高我国出口集装箱运输市场预测的可靠性提供参考.
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| 关 键 词： | 中国出口集装箱运价指数 收益率序列 自回归条件异方差 波动特征 杠杆效应 |
| 收稿时间： | 2013/1/11 0:00:00 |
| 修稿时间： | 2013/4/16 0:00:00 |
China containerized freight index volatility based on ARCH family models |
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| ZHU Yuhua;ZHAO Gang.China containerized freight index volatility based on ARCH family models[J].Journal of Shanghai Maritime University,2013,34(3):48-53. |
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| Authors: | ZHU Yuhua;ZHAO Gang |
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| Institution: | shanghai maritime university |
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| Abstract: | To improve the forecast reliability of China export container transportation market, the weekly data of China Containerized Freight Index (CCFI) that released by Shanghai Shipping Exchange are selected from January 7, 2000 to August 31, 2012. The stability and heteroskedasticity of CCFI return series are analyzed and inspected. Then, GARCH model is used to describe the volatility clustering and sensitivity of CCFI, and EGARCH model is used to analyze the asymmetry of CCFI fluctuation. The results show that the CCFI return series is proved to be stationary and the container freight rate fluctuation has anti leverage effect. This method can improve the forecast reliability of China export container transportation market. |
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| Keywords: | China containerized freight index return series auto regressive conditional heteroskedasticity volatility leverage effect |
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