| In this paper, we analyze the logarithm change rate of BCI,BPI and BSI during BDI sharp increasing period(2005-2008), then set up a ARCH model of the daily profit rate of the freight index to find the internal rule of the freight index fluctuation and then to supply help reference for operators and investors so that they can grasp changes in the market and avoid the price risk.Firstly, it starts with a brief analysis of the dry-bulk market and then qualitatively investigates the internal causes of fluctuation from different aspects. The generation, development, composition and computation method of BDI (Baltic Dry Index) have been discussed.Secondly, it briefly reviews the theoretical basis of ARMA-GARCH model and describes the dry-bulk freight rate series in three sub-markets depending on vessel sizes.Thirdly, the ARMA-GARCH model is implemented to reveal the persistence and sensitivity of fluctuation vary across sub-markets. Leverage effect is also tested to reflect freight rates’reaction to both good news and bad news based on EGARCH and TGARCH model. In addition, the fitting effects of three type models have been compared for each sub-market so as to decide the best fitting models.Finally, the general conclusions of the thesis are presented. conclusions and suggestions are made for business practitioners. |
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