Measuring level of risk exposure in tanker Shipping freight markets

Authors

  • WESSAM M. T. ABOUARGHOUB Centre for Global Finance Bristol Business School University of the West of England, Bristol
  • IRIS BIEFANG-FRISANCHO MARISCAL Centre for Global Finance Bristol Business School University of the West of England, Bristol

DOI:

https://doi.org/10.18533/ijbsr.v1i1.211

Keywords:

Value at Risk, GARCH, semi-parametric, Markov switching and freight volatility.

Abstract

This is an attempt to study the volatility structure of the tanker freight market and its exposure to market shocks. Therefore, we introduce a two state regime to investigate the possibility of two different volatility structures in shipping tanker freight markets. Empirical evidence is found that in general terms, shipping tanker freight returns, shift between two regimes, a high volatility regime and a low volatility regime and that market shocks in general increase the volatility of freight returns and has a lasting effect. In regards to measuring freight risk, it seams that semi-parametric approaches are appropriate methods for measuring level of risk exposure for shipping freight markets.

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Published

2011-12-05

Issue

Vol. 1 No. 1 (2011): December

Section

Article

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