摘要
针对目前关于各类航运市场的研究都暗示出波罗的海干散货运价指数(BDI)很可能具有长记忆性的问题,对BDI是否具有长记忆性问题进行实证研究.BDI收益率序列的R/S分析和ADF-KPSS联合检验表明BDI收益率序列不具有显著的长记忆性;对代表BDI波动性的绝对收益率和平方收益率进行ADF-KPSS联合检验,发现两者都具有显著的长记忆性;应用FIGARCH模型,度量其波动的长记忆性.这些研究结果反映出国际航运市场确实具有一定的长记忆性.
In view of the problem that the present researches in shipping markets imply that the Baltic dry index （BDI） may take on long memory property, an empirical study about whether the long memory effect exists in BDI is presented. By applying R/S analysis to the log return series and ADF-KPSS test to the log return series, it is found that there is no significant long memory effect in the log return series of BDI, while the absolute log returns and the squared log returns, which present the volatility of the series, have long memory property. A FIGARCH model is applied to measure the long memory property in volatility. All these results support the conclusion that the shipping markets do have some long memory properties.
出处
《上海海事大学学报》
北大核心
2009年第1期40-44,78,共6页
Journal of Shanghai Maritime University
基金
上海市教育委员会科技项目(06FZ013)
上海海事大学重点学科建设项目(XR0101)
