Title :
The risk measures based on GARCH model in tanker shipping market
Author_Institution :
Dept. of Transp., Jiangsu Univ., Zhenjiang, China
Abstract :
The purpose of this paper is to investigate the risk measures based on general autoregress conditional heterostedasticity (GARCH) model in tanker shipping industry, to choose Baltic Dirty Tanker Index as study object. This paper applies Value-at-Risk model, widespread used in financial field, for measuring risks in shipping market. The parameters of the model are estimated by statistical software package Eviews. According to analyze the economic insignificant of parameters in the model, and get the conclusions that the freight return possesses persistence, and the VaR model is valid on 99% confidence level.
Keywords :
autoregressive processes; goods distribution; industrial economics; risk management; transportation; Baltic dirty tanker index; Eviews statistical software package; GARCH model; general autoregress conditional heterostedasticity model; risk measurement; tanker shipping industry; value-at-risk model; Analytical models; Autoregressive processes; Biological system modeling; Correlation; Indexes; Industries; Portfolios; Heterostedasticity; Risk Measures; Tanker shipping;
Conference_Titel :
Automation and Logistics (ICAL), 2010 IEEE International Conference on
Conference_Location :
Hong Kong and Macau
Print_ISBN :
978-1-4244-8375-4
Electronic_ISBN :
978-1-4244-8374-7
DOI :
10.1109/ICAL.2010.5585369
