Analysis on features of the fluctuation of international dirty tanker freight index

The purpose of the paper is to model and study features of fluctuation in the international dirty tanker shipping market using GARCH class. As an indicator of the market, the time series from Baltic dirty tanker index covers the fluctuating rules, which is proved to be of auto correlation and stationarity by unit root test and ARCH LM test. Hereby GARCH, EGARCH and TGARCH can be employed better than other models to interpret characteristics of the fluctuation of four submarkets divided by tanker type respectively. The results show a significant volatilities and leverage effects in the market. Summarily, the paper offers effective clues of the inherent regularity of tanker types and factors that impact the submarkets nowadays.