摘要
对波罗的海干散货运价指数收益率序列建立EGARCH模型来考察"好消息"和"坏消息"对收益率波动的非对称性影响.结果发现,总样本区间,"好消息"更能增加收益率的波动.但分段建模结果显示:市场不景气时,"好消息"和"坏消息"对运费收益率市场波动的影响是对称的;市场景气时,"坏消息"较等量"好消息"产生更大波动.
This paper provided a EGARCH model to investigate the asymmetric impact of good news and bad news on freight rates volatility.Empirical results show that good news has greater impact on market of freight rates during the whole period.However,there is no leverage effect in bleak markets no matter which news is there.And bad news has greater impact on market of freight rates in boom markets.
出处
《大连海事大学学报》
CAS
CSCD
北大核心
2011年第3期55-57,共3页
Journal of Dalian Maritime University
