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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.
The current research on various shipping markets implies that the Baltic Dry Index (BDI) is likely to have a long memory problem and an empirical study on whether BDI has long memory.The R / S-analysis and ADF-KPSS joint test showed that the BDI yield sequence did not have significant long memory; ADF-KPSS joint test of the absolute return and the square return on behalf of BDI volatility found that both had significant long memory Using the FIGARCH model to measure the long memory of its volatility, these findings reflect the long memory of the international shipping market.