Since the2009financial crisis caused by the Great Depression of the shipping market, the dry bulk shipping market has been in a phase of low levels. Therefore, Dry Freight Index Return and Volatility more and more widespread concern in the shipping operators, dry bulk transport operators by analyzing the fluctuations in dry bulk freight index master the fluctuation of the market dynamics, the implementation of appropriate measures, thus reasonable to avoid market risks. This article will be widely used to study time-varying sequence features GARCH model is applied to the international tanker transport market analysis of dry bulk freight index fluctuation of the cause of the fluctuations, and the model for simple evaluation and analysis. This paper mainly consists of the following components:First of all, from the international dry bulk shipping market to start, first a brief analysis of the market elements of the dry bulk market, then analyzes the production, consumption and trade flows of iron ore, coal, grain and other commodities in the dry bulk market, as well as the capacity of the dry bulk market change and future developments. And the Baltic Dry Freight Index generation, development, routes constitute the reasons for fluctuations and freight index brief exposition.Second, the detailed description of the financial sector in the ARCH model, GARCH model and asymmetric GARCH model, analysis of the pros and cons of the above model, a detailed analysis of the applicability of the model.Then, the selected of the Baltic Dry Index as the sample data, the calculated four ship daily yield and sequence analysis of the sequence of movements and basic statistical characteristics, the check sequence ARCH utility. Research and analysis of four sequence GARCH family models under different distribution yield volatility fitting. The application of the GARCH model to predict the volatility of the rate of return in the sample period and compare with the actual volatility and then judge the validity of the model.Finally, on the basis of these studies concluded Baltic Dry Index fluctuations, and pointed out that the article further research direction. |