The risk measures based on GARCH model in tanker shipping market

Author

Ma, Jinlin

Author_Institution

Dept. of Transp., Jiangsu Univ., Zhenjiang, China

fYear

2010

fDate

16-20 Aug. 2010

Firstpage

685

Lastpage

689

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;

fLanguage

English

Publisher

ieee

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

Type

conf

DOI

10.1109/ICAL.2010.5585369

Filename

5585369