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选取2006年1月3日至2010年12月24日波罗的海运价指数(BDI)数据进行实证分析,将基于GARCH计算的VaR和ES风险测度方法引入到BDI风险测度中,根据所得到的VaR和ES估计值定量的考察BDI的风险状况。
This paper selects the Baltic Freight Index (BDI) data from January 3, 2006 to December 24, 2010 for empirical analysis, and introduces VaR and ES risk measurement methods based on GARCH into the BDI risk measure. According to the obtained VaR and The ES estimates quantitatively examine the risk profile of BDI.