中文摘要：

为把握国际干散货市场运价指数的波动特征,规避航运经营风险,建立基于广义的自回归条件异方差（GARCH）的运价指数波动模型。选取四种船型的波罗的海干散货运价指数BCI、BPI、BHI、BSI作为研究的样本数据。利用EVIEWS软件,通过分析样本数据的基本统计特征和ARCH效应检验等,对四种船型分别建立了GARCH（1,1）模型。实例验证表明模型能很好地反映波罗的海干散货运价指数波动的敏感性和持续性规律,从而可为航运经营提供决策支持。

英文摘要：

A volatility model of freight index is established,based on General Autoregressive Conditional Hereoskedasticity（GARCH） model in order to understand the characteristics of freight rate fluctuation in international shipping dry-bulk market and evade shipping operation risk.The freight indexes of four Baltic dry-bulk ship forms i.e.BCI,BPI,BSI and BHSI are chosen as sample data of the study.Four GARCH（1,1） models for the four indexes are established,respectively,through basic statistical characteristics analysis of the sample data and ARCH effect test by using EVIEWS software etc.The validation results by actual examples show that the GARCH（1,1） model could reflect the sensitivity and persistence of Baltic dry-bulk index fluctuations very well so as to provide a scientific decision-making support for shipping operation.