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題名 | 波羅地海乾散貨運價指數之變幅波動模型=The Range-based Volatility Models for the Baltic Dry Index |
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作者 | 周恆志; 張志清; 謝承宏; 易至中; Chou, Heng-chih; Chang, Chih-chin; Hsieh, Arthur; Yi, Chih-chun; |
期刊 | 國立臺灣海洋大學海運學報 |
出版日期 | 20111200 |
卷期 | 20:2 2011.12[民100.12] |
頁次 | 頁23-39 |
分類號 | 557.445 |
語文 | chi |
關鍵詞 | 波羅地海乾散貨運價指數; 價格波動率; 價格變幅; ACARR模型; GARCH模型; BDI; Price volatility; Price range; ACARR; GARCH; |
中文摘要 | 本文以波羅地海乾散貨運價指數為分析對象,樣本時間為1999/11/1 至2010/2/28 止,探討價格變幅波動模型的配適績效與預測績效,並且與以收盤價資料為基礎的GARCH 模型相比較。實證結果發現,無論樣本內的配適績效或樣本外的預測績效,價格變幅波動模型皆優於GARCH 模型。此外,在模型中加入與BDI 指數相關的外生變數有助於提升運價指數短期預測績效,但是在長期預測績效方面並未明顯改善。 |
英文摘要 | This study explores the fitting performance and forecasting performance of therange-based price volatility model on the Baltic Dry Index (BDI). The sample periodis from 1999/11/1 to 2010/2/28, and the performance is compared with traditionalreturns-based GARCH model. The empirical results show that range-based model isbetter than GARCH model, in terms of the in-sample fitting performance andout-sample forecasting performance. Besides, the study also adds some adequateexogenous variables into the model to increase its forecasting performance. Theresults demonstrate that exogenous variables could help short-term forecast, but not inthe long-term forecast. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。