Study On The Fluctuation And Prediction Of Baltic Dry Cargo Freight Rate Index Based On GARCH Family Models

The Baltic dry bulk cargo freight rate index not only reflects the overall level of international dry bulk freight rate, but also quantifies the status of international dry bulk shipping market. In fact, the volatility is relatively huge and there exists lots of risks in the dry bulk shipping market. Therefore, the operators in shipping industry concern much about the rate of return of dry bulk freight index, the volatility of the dry bulk freight index, and its future trends. In view of the characteristics of four ship type Baltic dry bulk cargo freight rate index and their volatility rule, the thesis employed the GARCH family models in econometrics to analyze the feature of continuity and sensitivity of the Baltic dry bulk cargo freight rate index’s volatility. The volatility spillover effect and leverage effect of the Baltic dry bulk cargo freight rate index were discussed. The fulture trend of Baltic dry bulk cargo freight rate index was forecasted. The thesis includes the following sections:First of all, the thesis started with analysis of the dry bulk shipping market freight index and then summarized the emerge reasons of the Baltic dry bulk cargo freight rate index, it’s composition, calculation as well as it’s development. And then it analyzed the characteristics of the Baltic dry bulk cargo freight rate index. The factors influencing the Baltic dry bulk cargo freight rate index were discussed.Secondly, the thesis analyzed the features of GARCH family models. And it also illustrated the usability of these models in studying the volatility rule and prediction of the Baltic dry bulk cargo freight rate index.Thirdly, by collecting the trading data of four kinds of vessels from Clarkson website and taking logarithm of the data, the thesis analyzed the trend and basic statistics features of the date revenue return of the Baltic dry bulk cargo freight rate index data. Then the GARCH model was established to analyze the fluctuations and sensitivity of the data. The volatility rule of the Baltic dry bulk cargo freight rate index has been acquired.Next, the thesis employed the GARCH-BEKK model to investigate the volatility spillover effect among the four kinds of vessel Baltic dry bulk cargo freight rate index. The mutual influencing relationships between the four kinds of vessel Baltic dry bulk cargo freight rate index have been discussed.Then, the thesis employed the EGARCH model to investigate the leverage effect of the four kinds of vessel Baltic dry bulk cargo freight rate index. The different influences on the four kinds of vessel Baltic dry bulk cargo freight rate index with good news and bad news have been pointed out. The prediction of the Baltic dry bulk cargo freight rate index has been conducted based on the logarithm relationship between the Baltic dry bulk cargo freight rate index and its date revenue return.Finally, the thesis gives out the conclusions and further research fields afterwards on the problems.The results of this study can be used as a theory reference for dry bulk shipping market investors as well as operators to make decisions. It also can provide scientific decision support for dry bulk shipping operators to avoid risks in the international shipping market. Therefore, it has an important theoretical and realistic significance.