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http://dx.doi.org/10.38121/kpea.2022.12.38.4.13

Stochastic Volatility Models Using Bayesian Estimation for the Leverage Effect of Dry-bulk Freight Rate  

Kim, Hyun-Sok (부산대학교 경제학과)
Publication Information
Journal of Korea Port Economic Association / v.38, no.4, 2022 , pp. 13-23 More about this Journal
Abstract
In this study, from January 2015 to April 2020, we propose a stochastic volatility model to capture the leverage effect on daily freight yields in the dry cargo market and analyze the freight yields. Estimation involving the Bayesian Markov Chain Monte Carlo method for the leverage effect based on the negative correlation that exists between returns and volatility in stochastic volatility analysis yields similar estimates, and the statistcs indicates significant. That is, the results of the empirical analysis show that the degree of correlation between returns and volatility, and the magnitude and sign of fluctuations differ, which suggests that taking into account the leverage effect in the SV model improves the goodness of fit of the estimates. In addition to the statistical significance of the estimated model's leverage effect, the analysis by log predictive power score presents the estimated results with improved predictive power of the model considering the leveraged effect. These astatistically significant empirical results show that the stochastic volatility model considering the leverage effect is important for freight rate risk modeling in the marine industry.
Keywords
Risk; Stochastic Volatility; Forecast; Freight Rate;
Citations & Related Records
Times Cited By KSCI : 3  (Citation Analysis)
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