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Volatility forecasting across tanker freight rates: The role of oil price shocks

Konstantinos Gavriilidis, Dimos S. Kambouroudis, Katerina Tsakou Orcid Logo, Dimitris A. Tsouknidis

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

Swansea University Author: Katerina Tsakou Orcid Logo

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DOI (Published version): 10.1016/j.tre.2018.08.012

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
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URI: https://cronfa.swan.ac.uk/Record/cronfa44403
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last_indexed 2020-06-17T18:58:23Z
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spelling 2020-06-17T13:47:52.9215304 v2 44403 2018-09-18 Volatility forecasting across tanker freight rates: The role of oil price shocks a4f50625221ac95136b3ff39782f2733 0000-0003-1913-858X Katerina Tsakou Katerina Tsakou true false 2018-09-18 BAF 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. Journal Article Transportation Research Part E: Logistics and Transportation Review 118 376 391 13665545 Volatility forecasts; Tanker freight rates; Oil price shocks; GARCH-X models 31 10 2018 2018-10-31 10.1016/j.tre.2018.08.012 COLLEGE NANME Accounting and Finance COLLEGE CODE BAF Swansea University 2020-06-17T13:47:52.9215304 2018-09-18T17:30:31.8459836 Faculty of Humanities and Social Sciences School of Management - Accounting and Finance Konstantinos Gavriilidis 1 Dimos S. Kambouroudis 2 Katerina Tsakou 0000-0003-1913-858X 3 Dimitris A. Tsouknidis 4 0044403-26092018162942.pdf paper_tre.pdf 2018-09-26T16:29:42.9030000 Output 422916 application/pdf Accepted Manuscript true 2019-09-05T00:00:00.0000000 12 month embargo. true eng
title Volatility forecasting across tanker freight rates: The role of oil price shocks
spellingShingle Volatility forecasting across tanker freight rates: The role of oil price shocks
Katerina Tsakou
title_short Volatility forecasting across tanker freight rates: The role of oil price shocks
title_full Volatility forecasting across tanker freight rates: The role of oil price shocks
title_fullStr Volatility forecasting across tanker freight rates: The role of oil price shocks
title_full_unstemmed Volatility forecasting across tanker freight rates: The role of oil price shocks
title_sort Volatility forecasting across tanker freight rates: The role of oil price shocks
author_id_str_mv a4f50625221ac95136b3ff39782f2733
author_id_fullname_str_mv a4f50625221ac95136b3ff39782f2733_***_Katerina Tsakou
author Katerina Tsakou
author2 Konstantinos Gavriilidis
Dimos S. Kambouroudis
Katerina Tsakou
Dimitris A. Tsouknidis
format Journal article
container_title Transportation Research Part E: Logistics and Transportation Review
container_volume 118
container_start_page 376
publishDate 2018
institution Swansea University
issn 13665545
doi_str_mv 10.1016/j.tre.2018.08.012
college_str Faculty of Humanities and Social Sciences
hierarchytype
hierarchy_top_id facultyofhumanitiesandsocialsciences
hierarchy_top_title Faculty of Humanities and Social Sciences
hierarchy_parent_id facultyofhumanitiesandsocialsciences
hierarchy_parent_title Faculty of Humanities and Social Sciences
department_str School of Management - Accounting and Finance{{{_:::_}}}Faculty of Humanities and Social Sciences{{{_:::_}}}School of Management - Accounting and Finance
document_store_str 1
active_str 0
description 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.
published_date 2018-10-31T03:55:36Z
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score 11.012678

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