PYXIDA Institutional Repository
and Digital Library
Collections :

Title :Volatility modelling in shipping freight markets
Creator :Βολίκα, Κασσιανή
Contributor :Καβουσανός, Εμμανουήλ (Επιβλέπων καθηγητής)
Οικονομικό Πανεπιστήμιο Αθηνών, Τμήμα Λογιστικής και Χρηματοοικονομικής (Degree granting institution)
Type :Text
Extent :76p.: fig.; tables
Language :en
Identifier :
Abstract :In the present dissertation, volatility comparison took place among freight rates of major routes of Container market and among different ship categories such as dry bulk, tanker and container ships. The final sample consists of weekly prices of several freight rate indices that cover the period from 2003-2016. Volatility was measured by the conditional coefficient of variation (CCV) which was calculated by dividing conditional standard deviation over absolute actual returns. Conditional standard deviation, in a time-varying framework, was extracted with the use of ARMA-GARCH (and others related) models. Applying SIC criterion, the best model for both conditional mean and conditional variance was selected in order to conclude to an adequate model that could accurately represent conditional standard deviation.
Subject :Shipping market
Tanker market
Dry bulk market
Container market
Freight market
Date Available :2017-02-13 14:49:17
Date Issued :08/25/2016
Date Submitted :2017-02-13 14:49:17
Access Rights :Free access
Licence :

File: Volika_2016.pdf

Type: application/pdf