波罗的海干散货运价指数预测及实证分析被引量：13

Forecasting model of Baltic dry index and its application

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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。 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 shortterm forecasting of BDI.

作者杜昭玺李阳靳志宏

机构地区大连海事大学交通运输管理学院

出处《大连海事大学学报（社会科学版）》 2009年第1期77-80,共4页 Journal of Dalian Maritime University(Social Science Edition)

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 Baltic dry index （BDI） seasonal factor cyclicalvariation long-term trend ARMA model

分类号 F550.5 [经济管理—产业经济]

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参考文献5

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