期刊刊名：蘭陽學報 　 卷期：12期

篇名出版日期：2013年6月1日

作者：張超琦,Chao-chi Chang

語言：English

關鍵字：Tanker Freight Rates, Long Memory, Volatilities, Fat Tails,油輪運費率,長期記憶,波動,厚尾

被點閱次數：1次

閱讀時間：1sec

摘要：
This study aims to investigate the features of tanker freight rates when there is a long memory effect. We employed the GPH test, the GSP test, the HYGARCH and the FIEGARCH models for the long memory test and estimation. Our results suggest that precise estimates of tanker freight rates may be acquired from a long memory in volatility models with the skewed Student-t distribution. Such models improve the long-term volatility forecast and produce more precise pricing of tanker freight contracts. Moreover, for the appropriate risk evaluation of tanker freight rates, the degree of persistence should be examined and modelling that includes volatility clustering, asymmetry, leptokurtosis and long range dependence should be considered. Therefore, we could extend these findings to risk management in the tanker freight markets.

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