基于ARMA模型的波罗的海Bry指数时频分析

2019 International Conference on Economic Management and Model Engineering (ICEMME) Pub Date : 2019-12-01 DOI:10.1109/ICEMME49371.2019.00063

Shangcong Yang, Yanpeng Zhou, Xiao Xiao, Shi-xun Liu, Jia Wen Liang, WenXiang He, Yaliang Wang

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引用次数: 0

摘要

本文回顾了近20年的BDI值，分析了BDI的波动率、平均值和幅度，并进一步分析了基于世界经济增长率的BDI值变化。采用计量经济学方法，选取近20年的BDI交易日数据作为模型样本，根据不同日收益率的序列分布建立ARMA模型，并对BDI走势进行静态预测。最后，基于上述模型，总结出对国际航运市场投资经营的建议。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Time - Frequency Analysis of Baltic Bry Index Based on ARMA Model

This paper reviews the value of BDI over the past 20 years and analyzes the volatility, average, and magnitude of BDI, and further analyses the value change of BDI based on world economic growth rates. Using the econometric method, the BDI trading day data of nearly 20 years is selected as the model sample, and the ARMA model is established based on the sequence distribution with different daily yields, and the trend of BDI is statically predicted. Finally, based on the above model, the recommendations for investment and operation in the international shipping market are summarized.

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来源期刊

2019 International Conference on Economic Management and Model Engineering (ICEMME)

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