期刊刊名：蘭陽學報 　 卷期：13期

篇名出版日期：2014年6月1日

作者：張超琦,Chao-chi Chang

語言：English

關鍵字：Long Memory,Volatilities,Fat Tails,Dry Bulk Freight Rates,波羅的海乾散貨運費率,長期記憶,波動,厚尾

被點閱次數：1次

閱讀時間：56sec

摘要：
This study aims to investigate the features of the dry bulk freight rates when there is a long memory effect. We employed GPH test, GSP test, the Rescaled Range Tests of Mandelbrot (1972) and Lo (1991), FIGARCH, HYGARCH and FIAPARCH models for the long memory test and estimation. Our results suggest that precise estimates of dry bulk freight rates may be acquired from a long memory in volatility models with skewed Student-t distribution. Such models might improve the long-term volatility forecast and more precise pricing of dry bulk freight contracts. We could extend these findings to the risk management in the dry bulk freight markets. Moreover, for appropriate risk evaluation of dry bulk freight rates, the degree of persistence should be examined and appropriate modelling that includes volatility clustering,asymmetry, leptokurtosis and long range dependence should be taken into consideration. We could extend this implication to the connection of the dry bulk freight market management.

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