布伦特油价波动研究及其及BDI指数的关系研究——基于VAR-GARCH模型.pdfVIP

Advances in Social Sciences 社会科学前沿, 2016, 5(6), 825-833 Published Online December 2016 in Hans. /journal/ass /10.12677/ass.2016.56116 Research on Brent’s Oil Price Fluctuation and Its Relationship with BDI Index—Based on VAR-GARCH Model Yanjun Fan Shanghai Maritime University, Shanghai st th th Received: Nov. 21 , 2016; accepted: Dec. 6 , 2016; published: Dec. 9 , 2016 Copyright © 2016 by author and Hans Publishers Inc. This work is licensed under the Creative Commons Attribution International License (CC BY). /licenses/by/4.0/ Open Access Abstract In this paper, the time series model is established based on the BDI index and the Brent oil price, which attempts to measure the relationship between the two series. First, the disposal of the Brent oil price data mainly with the logarithmic difference method can eliminate non-stationary se- quences, and reduce the difficulty of calculation, so it has high practicability in practice. Then the Brent oil price data were analyzed by descriptive analysis, and then established the GARCH model to fit the original data, and finally established the VaR model between oil prices and BDI data. In this paper, we used the Eviews software. Keywords The Shipping Market, Brent’s Oil Price, The BDI Index, VAR-GARCH Model 布伦特油价波动研究及其与BDI指数的 关系研究——基于VAR-GARCH模型 范燕君 上海海事大学，上海 文章引用: 范燕君. 布伦特油价波动研究及其与 BDI 指数的关系研究——基于 VAR-GARCH 模型[J]. 社会科学前沿, 2016, 5(6): 825-833. /10.12677/ass.2016.56116 范燕君 收稿日期：2016年11月21 日；录用日期：2016年12月6 日；发布日期：2016年12月9 日 摘 要 本文以BDI指数和布伦特油价为基础建立时间序列模型，试图测量两者之间的关系。首先对布伦特油价 数据的处理主要采取对数差分法，可以消除序列的非平稳性，并降低计算难度，因而在研究实践中具有 较高的实用性。然后对布伦特油价数据进行描述性分析，再建立GARCH