Study on Volatilities of Freight by Different Operations in Panamax Dry Bulk Shipping Market

Author

Xu, Hao

Author_Institution

Transp. Manage. Coll., Dalian Maritime Univ., Dalian

fYear

2008

fDate

12-14 Oct. 2008

Firstpage

1

Lastpage

5

Abstract

The paper aims to develop a methodology to compare different shipping operations, taking Panamax dry bulker as an example, which are of different features against risks incurred by the volatilities in shipping market. After basic statistical analysis on the volatilities, R/S (Rescaled Range) method and GPH (Geweke & Porter Hudak) method are employed to test the persistence of the volatilities. Moreover FIEGARCH (Fractionally Integrated Generalized Auto Regression Conditional Heteroskedastic) is furthered to model characteristics of the volatilities in the market, which demonstrates that different feedback against the volatilities lie in different shipping operational properties. Hereby decision makers can make an evaluation on different shipping operations and then implement the optimal one to smooth impacts of the fluctuations in shipping market.

Keywords

autoregressive processes; decision making; economic forecasting; freight handling; statistical testing; transportation; GPH method; Panamax dry bulk shipping market; decision making; economic forecasting; fractionally integrated generalized autoregression conditional heteroskedastic; freight volatility testing; optimal shipping operation; rescaled range method; statistical analysis; transportation; Autocorrelation; Educational institutions; Finance; Fluctuations; Risk analysis; Security; Statistical analysis; Testing; Time varying systems; Transportation;

fLanguage

English

Publisher

ieee

Conference_Titel

Wireless Communications, Networking and Mobile Computing, 2008. WiCOM '08. 4th International Conference on

Conference_Location

Dalian

Print_ISBN

978-1-4244-2107-7

Electronic_ISBN

978-1-4244-2108-4

Type

conf

DOI

10.1109/WiCom.2008.2057

Filename

4680246