Comparing grey system and ARIMA models in forecasting baltic exchange dry index

Bi-Huei Tsai*, Chi Chen Wang, Chun Hsien Chang

*此作品的通信作者

研究成果: Article同行評審

1 引文 斯高帕斯(Scopus)

摘要

The freight rate is generally affected by the uncertainty in bulk shipping market. Since Baltic Dry Index (BDI) is a combined index of the freight rate, BDI trend precisely reflects bulk shipping market variations. The purpose of this paper is to forecast the BDI, helping the bulk shipping companies to reduce risks. This work applies Grey- Markov model, GM(1,1), ARIMA model, and ARIMA model considering the structural change to predict BDI, while comparing prediction capability among the four models. The empirical results show that over all the Grey-Markov model performs superior to the other models in BDI prediction, suggesting that the Grey-Markov model specializes in making predictions with incomplete and uncertain raw data.

原文English
頁(從 - 到)693-698
頁數6
期刊ICIC Express Letters
7
發行號3 A
出版狀態Published - 28 3月 2013

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