The volatility of Baltic Dry Index (BDI) from the year 2007 to 2009 reflects the historical features of the world's shipping economy during the period of financial crisis. BDI in 2007 reflects the boom period of international shipping market economy. The rise and fall of volatility of BDI in 2008 shows the recession sign due to financial crisis. The reiterative uptrend of BDI in 2009 indicates the hesitated recovery of the economic crisis. The basic trend of the BDI reveals the movement trend of M, U and W shape. The aim of this paper is to valid the degree of volatility and risk of BDI by choosing the week average of BDI from the year 2007 to 2009 as empirical data, with the detailed research approach by using curve trend to make qualitative analysis and statistical principle to make volatility analysis. The conclusion is that the volatility of BDI from the year 2007 to 2009 effectively reflects the fluctuations of shipping economy and proves that BDI is an indicator to reflect high risk.