【摘要】 对波罗的海运价指数进行分析和检验.运用迪克—富勒检验(augmented D ICKEY-FULLER,ADF)对波罗的海运价指数(Bultic dry indes,BD I)的对数序列进行检验,结果证明BD I对数序列是一个单位根过程,是非平稳的,但一阶差分后是平稳过程,即BD I对数序列是一阶单整的.通过ARCH LM检验认为BD I对数序列存在高阶ARCH效应,并用GARCH(1,1)模型消除残差序列的条件异方差性.更多还原

【Abstract】 The volatility of Baltic dry index(BDI) is studied.Using augmented Dickey-Fuller test,the result shows that BDI logarithm process is nonstationary but the first difference is stationary,i.e.it is integrated of order one.High-level ARCH effect is certification in the BDI logarithm process by ARCH LM test,GARCH(1,1)model is used to eliminate the conditional heteroscedasticity.更多还原