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Volatility forecasting across tanker freight rates: The role of oil price shocks / Konstantinos Gavriilidis, Dimos S. Kambouroudis, Katerina Tsakou, Dimitris A. Tsouknidis

Transportation Research Part E: Logistics and Transportation Review, Volume: 118, Pages: 376 - 391

Swansea University Author: Katerina Tsakou

Abstract

This paper examines whether the inclusion of oil price shocks of different origin as exogenous variables in a wide set of GARCH-X models improves the accuracy of their volatility forecasts for spot and 1-year time-charter tanker freight rates. Kilian’s (2009) oil price shocks of different origin enter...

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Published in: Transportation Research Part E: Logistics and Transportation Review
ISSN: 13665545
Published: 2018
Online Access: Check full text

URI: https://cronfa.swan.ac.uk/Record/cronfa44403
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Abstract: This paper examines whether the inclusion of oil price shocks of different origin as exogenous variables in a wide set of GARCH-X models improves the accuracy of their volatility forecasts for spot and 1-year time-charter tanker freight rates. Kilian’s (2009) oil price shocks of different origin enter GARCH-X models which, among other stylized facts of the tanker freight rates examined, take into account the presence of asymmetric and long-memory effects. The results re-veal that the inclusion of aggregate oil demand and oil-specific (precautionary) demand shocks improves significantly the accuracy of the volatility forecasts drawn.
Keywords: Volatility forecasts; Tanker freight rates; Oil price shocks; GARCH-X models
College: School of Management
Start Page: 376
End Page: 391