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为了推进上海国际航运中心的建设,加快开发航运运价指数衍生品,为中国航运企业控制市场风险创造条件,上海航交所于2011年12月7日正式发布了中国沿海煤炭运价指数(简称CBCFI)。文章基于GARCH-M模型和EGARCH模型对CBCFI日收益率的波动特征进行分析,实证结果表明,CBCFI具有条件异方差性。指数的风险与收益呈一定负相关关系。收益率序列具有非对称性,存在“反杠杆效应”。
In order to promote the construction of Shanghai International Shipping Center, speed up the development of the shipping freight index derivatives and create conditions for the Chinese shipping enterprises to control market risks, the Shanghai Air Exchange officially released the China Coast Coal Freight Index (abbreviated as “ CBCFI). Based on the GARCH-M model and the EGARCH model, this paper analyzes the volatility characteristics of CBCFI daily returns, empirical results show that CBCFI has conditional heteroscedasticity. The risks and returns of the index are negatively correlated. The yield series is asymmetric and there is ”anti-leverage effect ".