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Article

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

Citation
Gavriilidis K, Kambouroudis DS, Tsakou K & Tsouknidis DA (2018) Volatility forecasting across tanker freight rates: the role of oil price shocks. Transportation Research Part E: Logistics and Transportation Review, 118, pp. 376-391. https://doi.org/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 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 reveal 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;

Journal
Transportation Research Part E: Logistics and Transportation Review: Volume 118

StatusPublished
Author(s)Gavriilidis, Konstantinos; Kambouroudis, Dimos S; Tsakou, Katerina; Tsouknidis, Dimitris A
Publication date31/10/2018
Publication date online05/09/2018
Date accepted by journal28/08/2018
URLhttp://hdl.handle.net/1893/27697
ISSN1366-5545
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