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原油是全球最主要的贸易商品,对于油轮运输市场来说,了解油轮运价与原油价格之间的关系有助于企业的决策和在实践中的操作和管理。为了用数量描述市场投资的风险,用VaR值表示,文章采用分位数自回归模型对油轮运价指数的风险价值进行研究,得出油价确实对运价指数有着显著影响,并与最小二乘估计比较,将国际油价考虑在内的分位数自回归模型对油轮运输市场风险控制具有良好的表现,并计算出VaR。最后,将模型预测值与实际值比较,发现分位数自回归模型有着较低的失误率,为测度油轮运价指数的投资风险提供了新方法。
Crude oil is the world’s leading trade goods, for the tanker transport market, understand the relationship between the oil tanker price and the price of crude oil to help businesses make decisions and in practice the operation and management. In order to quantitatively describe the risk of market investment, the value of VaR is used to indicate that the value of tankers’ freight index is studied by quantile autoregressive model. It is concluded that the price of oil does have a significant impact on the freight index and is positively related to the least squares Estimating and comparing the quantile autoregressive model that takes international oil prices into account, the VaR is calculated to have a good performance on the tanker market risk control. Finally, comparing the model predictive value with the actual value, we find that the quantile autoregressive model has a lower error rate, which provides a new measure for measuring the investment risk of the freight index.