| 波罗的海干散货运价指数预测及实证分析 |
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| 引用本文： | 杜昭玺,李阳,靳志宏.波罗的海干散货运价指数预测及实证分析[J].大连海事大学学报(社会科学版),2009,8(1):77-80. |
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| 作者姓名： | 杜昭玺 李阳 靳志宏 |
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| 作者单位： | 大连海事大学,交通运输管理学院,辽宁,大连,116026 |
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| 摘 要： | 以波罗的海干散货运价指数（BDI）为研究对象，以其月度平均值为单位，分析BDI的季节性与周期性波动规律。通过分析其长期趋势性因素的波动规律，发现BDI的长期波动规律符合生长曲线模型。借助于ADF检验，建立ARMA模型。实证分析结果表明，该模型可用于BDI的短期预测。
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| 关 键 词： | 波罗的海干散货运价指数 季节性因素 周期性因素 长期趋势 ARMA模型 |
Forecasting model of Baltic dry index and its application |
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| DU Zhao-xi,LI Yang,JIN Zhi-hong.Forecasting model of Baltic dry index and its application[J].Journal of Dalian Maritime University:Social Science Edition,2009,8(1):77-80. |
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| Authors: | DU Zhao-xi LI Yang JIN Zhi-hong |
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| Institution: | College of Transportation Management;Dalian Maritime Univ.;Dalian 116026;China |
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| Abstract: | The object of research is Baltic dry index(BDI),to consider its monthly average as one unit,and to analyze the fluctuation variation of season and cycle.By means of analyzing long-term tendency,it was found that its long-term fluctuation variation accords with the growth model.Through ADF tests,an ARMA forecasting model was proposed.The simulation experiments show that the proposed model is suitable for the short-term forecasting of BDI. |
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| Keywords: | Baltic dry index （BDI） seasonal factor cyclicalvariation long-term trend ARMA model |
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