Long Memory Analysis of Dry Bulk Freight Rates

波羅的海乾散貨運費率的長期記憶分析

10.6665/JLYIT.2014.13.26

張超琦(Chao-Chi Chang)

波羅的海乾散貨運費率 ； 長期記憶 ； 波動 ； 厚尾 ； Long Memory ； Volatilities ； Fat Tails ； Dry Bulk Freight Rates

蘭陽學報

13期（2014 / 06 / 01）

26 - 43

英文

本文旨在探究波羅的海乾散貨運費率的長期記憶現象。運用GPH、GSP、R/S檢定及FIGARCH、HYGARCH、FIAPARCH長期記憶GARCH模型來檢視。研究結果顯示，採用偏態t分配的長期記憶GARCH模型可能對於波羅的海乾散貨運費率較能精確估計，並且提升長期預測與定價的精確性。因此，對於波羅的海乾散貨運費率的風險估計，應將其長期記憶現象納入考量，同時所採用的GARCH模型應能一併考量波動的叢聚現象、不對稱性、厚尾及長期記憶等因素。這些結果可以應用在實務界從事乾散貨運費市場之風險管理。

This study aims to investigate the features of the dry bulk freight rates when there is a long memory effect. We employed GPH test, GSP test, the Rescaled Range Tests of Mandelbrot (1972) and Lo (1991), FIGARCH, HYGARCH and FIAPARCH models for the long memory test and estimation. Our results suggest that precise estimates of dry bulk freight rates may be acquired from a long memory in volatility models with skewed Student-t distribution. Such models might improve the long-term volatility forecast and more precise pricing of dry bulk freight contracts. We could extend these findings to the risk management in the dry bulk freight markets. Moreover, for appropriate risk evaluation of dry bulk freight rates, the degree of persistence should be examined and appropriate modelling that includes volatility clustering, asymmetry, leptokurtosis and long range dependence should be taken into consideration. We could extend this implication to the connection of the dry bulk freight market management.

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